@Eduardo: Have you already figured it out?
I just tried to pay attention to what happens in my mouth while pronouncing ÄÖÜ. Which seems to be: When pronouncing A, O, or U, the tongue stays at the bottom of may mouth, and for ÄÖÜ it moves upwards until the sides of the tongue touch the upper teeth.
So for "Ö", just try to say "O" and move the tongue up.
Did that help? ;)