Ordering problems...

So, I sometimes order stuff on the Internet, and I usually order from Swedish shops, because it's more convenient.
Anyway, I execute this order and start waiting; sometimes I just receive a paper that tells me my order has been received, and then NOTHING HAPPENS!
I've even tried showing this piece of paper to the people at the post office, but they say the paper just tells me my order has been received, and nothing else.

Why don't I hear anything else from those places, then?
Why do they never give me a bill or anything?
Am I supposed to call them, or what?

Call them and ask for the status of your order.