The car smashed through the gates of the station garage before catching fire on police premises in the central Swedish town.
By the time fire fighters arrived at the scene, the garage was filled with smoke.
The body of the driver was badly burned and has not yet been identified.
But by checking the registration plates, police were able to ascertain that the car had not been reported stolen.
Police are working on the theory that the death may have been the result of a spectacular and successful suicide attempt.