As a group of Swedish Muslims begin their midday prayers in a mosque still blackened by smoke from a recent Molotov-cocktail attack, Bejzat Becirov, director of Malmo's Islamic Center, is talking urgently. "I'm afraid the same thing will happen here as in Paris," says Mr. Becirov, a Macedonian immigrant who opened Scandinavia's first mosque in this city in southern Sweden in 1984. Malmo, which has one of the highest percentage of Muslims of any western European city, illustrates the challenges facing a continent whose native population is increasingly wary of a rapidly expanding and often discontented Muslim population. But while...