I'm visitor in Canada and I do not want to go back in Sweden because I'm at risk. How can I request for refugee in Canada?
You are looking for the "In-Canada Asylum Program". See How Canada's refugee system works.
The key points are that you must have a well-founded fear of persecution or be at risk of torture or cruel or unusual punishment in Sweden. You are not eligible if you have been convicted of a serious criminal offense.
It may be difficult to prove a well-founded fear of persecution in Sweden.