Problems with Swedish characters on Unix

I've written a program that has to deal with the Swedish letters åä and ö.

I wrote it on a Windows computer and everything works perfectly fine there.

But when I tried to run the program on Unix, the Swedish letters don't show and the program doesn't work, when dealing with the Swedish letters.

It's written in Java, by the way.

Any ideas what to do, so it works when running on Unix?