It's too bad for all only-english reading people that the two first books about Harry Hole haven't been translated into english. But if you want to start reading, start with this.
By my standards this is by far the best of the 8 books about Harry Hole that has come out so far, though i can hardly wait for number 9 this june seeing as they're all good.
As indicated, this is the 3rd book in the series. The first two are called The Bat Man and The Cockroaches, if you're to translate the titles directly from Norwegian. The order of the rest of the books is:
5. The Devil's Star
6. The Redeemer
7. The Snowman
8. The Leopard
The first two books are well worth reading, especially the first. But start with this, and work your way down the list you're going to have a good few hours of exciting reading ahead of you.