Should I start to learn first the alphabets and how to use them or conversational vocabulary? I'm totally lost.
First of all you have to learn letters and the then words and finally scentences.While learning you have to listen to some Arabic
You are a Finnish native speaker, so languages will be easier for you than for most people.
But, you are already learning Sweedish, Spanish, and English. Are you sure you should add another language this soon?
Next, Arabic is a very specific dialect for almost every country in the Middle East. So, I would suggest you only study vocabulary for now. And if in the future, you have a need to pursue one of the Arabic dialects it would be easier for you then.
When I started learning I tried to familiarise myself with the letters and how they join first; this is probably the best. I also dont think it hurts to learn simple stuff like 'how are you?' and 'my name is' in Arabic. This way you keep it interesting and can also see how the letters work in a real life example.
learning the alphabets is the right decision
yes, you should learn first Arabic alphabet then try to connect the letters