Sweden did attempt to built a few colonies. New Sweden was an attempted colony in North America that was conquered by the Dutch. A few attempts at establishing a colony on the Gold Coast in Africa also failed, when Denmark captured the Swedish posessions.

Generally, the Swedish rulers of the 17th century did not see the need nor the benefit of spending vast resources on colonisation. Not only was Sweden sparsely populated with a much lower population than most other European grand powers, it also had large stretches of territory in northern Sweden (today's nothern Sweden and Finland) to settle - there were little surplus population to send to colonies.

The Swedish policy to acquire money at the time was to control the Baltic Sea. The Sound Toll, extracted by Denmark on any ship passing the Sound provided the Danes with a reliable source of large amounts of hard currency (in this age more in the form of real coin rather than goods, which many peasants still paid their taxes in), Sweden was envious of this and sought to control river mouths and natural choke points of trade.

With the control of Ingria and Livonia, Sweden could toll any trade comoin on both the Neva and Daugava rivers, which basically meant that all trade from Russia that did not pass over Archangelsk had to pass through Swedish ports and be subject to Swedish tolls.

Likewise, Sweden controlled the Vistula lagoon 1629-1635 and could exract tolls on any trade to and from Königsberg, the Elblag and the Pregolya river.

The tolls on the Weser river, controlled through Swedish Bremen, was enough to pay for a permanent garrison of about 7 000 men in Swedish Germany 1648-1708 (when it joined the Swedish army in Saxony) and all administration of the Swedish territory in Germany.

These conquests - getting them, keeping them and trying to regain them was far more important to the Swedish rulers than any far-off colony that demanded a lot of investment before it became profitable. They provided immediate payoff and having them would mean that the enemies of Sweden - mainly Denmark-Norway, Poland-Lithuania and Russia, would not have them.

The Baltic trade included, through the Vistula and the earlier mentioned rivers absolutely vital supplies for the naval powers. The Netherlands bought grain (from Poland and Ukraine), tar, hemp, lumber and mast trees from the countries around the Baltic Sea. England (and later Britain) was not as dependent on grain from the Polish-Lithuanian Commonwealth as the Dutch were, but still bought a lot of ship supplies. Streetlamps in Amsterdam and London were fired with herring oil from the Swedish west coast. Both countries sold cloth and colonial goods (spices, sugar, tobacco, china) to the countries around the Baltic Sea.

So, the bottom line is that dominating the Baltic was potentially more profitable for Sweden, and thus it focused its efforts there.

Other problems were that neither the English nor the Dutch wanted competition in America or elsewhere, and Swedish ships heading for any colonies would have to not only sail through a Sound easily shut of by the arch-enemy of Denmark, but also through waters controlled by the Dutch and the English.

Sweden's great power status ended 1721, and after that, there were very little resources for colonies. Sweden did control Saint Barthélemy 1784-1878.

Better answers will come, but I'll correct you on a couple of points straight away.

First of all, Sweden isn't at all isolated in Europe. Trade has always been prolific in the Baltic ever since the Vikings, and continuing with the Hanseatic League, during which time Stockholm rose to prominence as a city. Starting from the early 17th century the Swedish Empire rose to prominence, at its height dominating most of Scandinavia and and parts of northern Germany. Until loosing the Great Northern War, Sweden was considered one of the great military powers of Europe, and even after that was hardly forgotten. Sweden of the 18th century provided the world with great scientists like [Linnaeus] (http://en.wikipedia.org/wiki/Linneus) and Berzelius. Now, this is not to blare on the patriotic horn, but Sweden was never the isolated backwater you seem to imagine.

Secondly, there were in fact some colonial attempts. New Sweden was founded in 1638 before being conquered by the Dutch. A few other colonial attempts were made in the West Indies and the Gold Coast of Africa, but all succumbed in one way or another. The most successful colonial aspiration was in the Swedish East India Company which was lucrative for some years before it too folded.

Now you may ask, why weren't more attempts made? I could venture to answer with some speculation, but having no exact sources handy leave that to somebody more capable.

In addition to these other comments, I found it interesting that under Gustav III, Sweden was actually planning on colonizing Australia, but decided against it when the Russo-Swedish war broke out.