Hi,
The shipping address selection is activated automatically when you have weight in your orders. If you didn't put a weight in your products, then it won't display it. If you always want to display it, you should activate the option "Force shipping regardless of weight" which is in the tab checkout of the config (latest version only)
You need to go in the menu Display->Custom fields and edit the field address_country to set the default country. If you don't have denmark in the list of countries, that's because you unpbulished it/removed it/changed its type. You should check that in the menu System->Zones.