Wennerström might be a little boring to read about because he never actually appears. None of the other characters meet him. He's a version of a device made famous by Alfred Hitchcock, the MacGuffin. Hitchcock says,
"[…] the device, the gimmick, if you will, or the papers the spies are after... The only thing that really matters is that in the picture, the plans, documents or secrets must seem to be of vital importance to the characters." (source)
As a symbol of financial corruption, Wennerström is important.
[…] the Wennerström empire of obscure companies was linked to the heart of the international Mafia, including everything from illegal arms dealing and money laundering for South American drug cartels to prostitution in New York, and even indirectly for child sex trade in Mexico. (Epilogue.33)
Thus, the overarching theme of violence against women and children is preserved. What's more, Blomkvist's good name is restored, essential to the plots of future books. This theme, aided by a naïve belief that his computer is private, help put Salander on Wennerström's tail and, perhaps, gives her justification to steal all his money. Salander having money is also very important to the plot of future novels.
The Wennerström Affair is also what ties all the elements of the plot together, and enables the worlds of the Vangers, Salander, and Blomkvist to collide. Henrik Vanger (through Dirch Frode) hires Salander to investigate Blomkvist because he sees that Blomkvist is vulnerable since he's been convicted of slandering Wennerström, and therefore ripe to do Henrik's bidding.
When Blomkvist finds out that Salander investigated him, he investigates her too, and brings her on board. With her help, he's able to solve the mystery and live not to tell about it. In turn Salander gives him the keys to exposing Wennerström. So, he's rather indispensable because the characters desire knowledge of him and because he ties the plot together.
He also helps raise a dilemma. Is Salander justified in having him killed? Does this influence how you feel about her? Consider this: Sweden abolished the death penalty in 1921 (source). Could this fact influence Salander's decision not to turn him over to authorities? Do you think he deserves to die? Do you have enough information to make a judgment?