Glappkæft:
I think you mean that you use a US keyboard, not an English one. The English (as in UK or British) layout is mechanically like the European ones, i.e. it has a short left shift with another key between that and the "z", whereas the US keyboard has a long left shift (which I actually prefer); and the UK keyboard also has a vertical "enter" key on the main part of the keyboard, whereas US keyboards usually have a horizontal "enter" key with a 1½-width key above it (although some have an enormous "enter" key, but then two keys where our double-width backspace is). Thus US keyboards have one key less than European ones.
There are also some European keyboards with enormous an "enter" key, but with a shorther right shift key and a normal key to the right of that.
Incidentally, the E.U. committee which made recommendations on the placement of the new Euro sign on keyboards recommended that, in the long term, the right shift should be shortened and the Euro key be placed between the right shift and the dash (that's to the right of the full stop (known as a period in American)). This seems odd to me: to my mind, the Euro symbol, like the pound and dollar symbols, belongs in front of the amount, not after it, thus: €99.99, not 99,99€ as written in Germany, so the eruo (and pound and dollar) symbols really ought to be somewhere on the left (for example, on that key above Tab). But that doesn't concern you in Sweden.... yet.
Basic:
there is one layout which nearly does as you suggest: the Canadian International or Multilingual layout uses the right Ctrl key as an extra shift state, with Shift+Ctrl another possibility (you can see that on the Microsoft link I gave before). According to the Microsoft site I mentioned earlier in this thread, a futher three shift states are technically possible. The only problem then is how to print all those symbols on each key without cluttering...
By the way, if the necessary finger-gymnastics for shift-AltGr combinations are proving awkward, Windows 2000 and XP have a "sticky" shift feature which means you can, for example, press shift follwed by another key, rather than both at once. Could take some getting used to.