If your are travelling with a small budget Bus is a good medium in sweden. From Helsingborg several bus companies pass trough there exact availabilite changes often so check before you leave.
Swebus is the biggest bus long-range bus companies and have comfortable busses but from Helsingborg you can only go to Gothenburg directly and from there on you have to change. (http://www.swebusexpress.se/)
Säfflebussen is growing bus company very cheap but limited space. From helsingborg you can come to Berlin, Oslo, Gothenburg, Stockholm and various places with out changing bus. (http://www.safflebussen.se)
Svenska buss is really cheap and good but you can only get to Gothenburg. (http://www.svenskabuss.se/)
The inter-european company Eurolines also stops in helsingborg and from their buses you can go to all major cities in europe. (http://www.eurolines.com/)
There is also some company once a week going toward Hungary.
Since the bridge between Malmoe and Copenhagen was ready some bus lines have changed to check these ones if it is a while since I wrote this.