As far as I know, using alt-code keys is a rather low level windows facility, that should work in all programs. In some languages, I think, the NumLock indicator should be on, but that's all. I'm amazed by what you tell. But I don;t have OneNote 2003, so I can't help you here.
A workaround might be to have a small Notepad window open to type the note, than cut and paste. Or buy a Swedish keyboard. Or Start>Run>charmap to select those characters, but that's clumsy.
I often need to write in swedish and unlike in Word 2003 when it comes to insert, for instance, the symbol "