If you are comming to have classes, it will be easier to make swedish friends. If you'll do interships, you can think that swedes are not so open to outsiders, but when they give an opperture, you will see that Swedes are very kind, friendly and they are very concerned about our welfare. In any case it is more probable that you'll find friends from other countries that are in the same situation than you and it feels really good, because you become part of a new family.
There is a Karolinska students group to receive exchange students and provide some moments of fun and new experiences. However, that group is not very present and the activities appear only sometimes. So, my advice is: make your family and discover Stockholm together, doing your own plans, without expecting that someone bring them to you. There are a big variety of bars, coffeshops, "places-to-have-a-good-moment", with different concepts: for those who are crazier and for those we are calmer and like a good conversation. There are a lot of museums if you like to visit and some of them are for free at some specific days. I recommend Vasa Museum, Fotografiska Musuem (depending on the exhibition), Nobel Museum and Naturiska Museum. In wintertime, with snow, you can try skiing or ice skating and in the summer you can travel in the water channels on little boats and see the sunset from there. It's amazing!
There are also some cruizes with very atractive prices to Riga (Latvia) or Tallin (Estonia) (don't forget to see the prices in swedish, because if you look for it in english, the price will be higher) that students do frequently to see the countries around Sweden. Copenhagen is another great option to visit: it is beautiful and you can easily go by train, with an acessible price as well.