If you run into problems using data in Denmark, it may be because your mobile phone still has the old phone carrier's settings. The settings need to be removed, and the phone will then automatically download the correct ones.
Here is how on the majority of Android phones:
Settings -> Network connections -> Other networks -> Mobile Networks -> Access point names
Reset data APN.
Then turn your phone off and on. The phone should download the correct settings to the phone automatically.
Some phones will now ask you what network to use.