There's basically two ways of doing it. Officially or jailbreak.
The official way must be done via your Danish provider. Apple will then send a code to your iphone via iTunes which unlocks your phone.
The unofficial way involves jailbreaking and installing a program called Ultrasn0w. This doesn't always work, depends on which firmware & baseband version you are on and means you have to be very wary about upgrading to say the upcoming IOS5 since each time you do, you may find it stops working.
In short, I'd say if you can, get it requested officially.