It's an Ephemera vulgata, photographed in Sweden, early June 2007.

Canon 5D, Sigma 150/2.8 @f/10, 1/125 s, iso 400, uncropped
Here is a 50% crop of the same picture:

I hope I got species and male/female distinctions right here

Here's the female shown some months ago:
http://www.photomacrography.net/forum/v ... php?t=3449