Yago,
It seems like the entrance exam is divided into three different tests:
1) Performance ~20 min (three pieces of your choice, sight reading and 'unprepared' improvisation)
2) Ear training test ~1 hr
3) Music theory test ~2 hr (harmony, harmonic anlaysis etc)
The entrance exam seems to be pretty extensive in scope and it's hard to specifically say what you should study. The bar is pretty high, this is a quote from the home page: " In order to stand out above the competition, especially in your main subject or instrument, you often need to have studied music for several years prior to applying, either privately or at a preparatory school" (
http://www.kmh.se/studying-at-kmh).
Also note that knowledge of Swedish is a general eligibility requirement for under grad studies:
Kungl. Musikhögskolan | Performance ? Jazz