I have not tested this, but according to my measurements it is a quite normal DIN913 M4 grub screw, 4mm long (5mm should be ok as well).
I would try something like this:
http://www.ebay.de/itm/280974496805
http://www.ebay.de/itm/140762775530
http://www.ebay.de/itm/230740205460
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Daid 306
Ikea has these screws. I think they are in their curtain rails, but you could also check their lamps, as there is a big chance for one of these screws to be in there.
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