In Sweden, taxes are almost always withheld at the time of payment. Your employer is obliged to deduct tax from your salary before you are paid. There are some exceptions to the regular tax system, e.g. tax relief for foreign key personnel and a special income tax for non-residents (SINK) if you stay for less than six months.
Note, if you come to Sweden on a scholarship that is tax free, you will not be entitled to the same benefits from the Swedish Social Insurance Office that the tax-payers are. This means that you need to ensure you have a separate cover. Read more at Social security.
Read more about taxation in Sweden at Skatteverket.se