hi,
In the HikaShop backend, under Display -> Custom fields, you'll find the state field. Simply unpublished it.
Hint -- if you want to only allow customers with an address in Denmark:
1. Edit the country custom field and set Denmark as default.
2. Under System -> Zones, unpublish all countries except Denmark.
(You could do other and more trickery with the country field, depending on if you want it "read-only", or maybe not even at all anywhere. Guess you'll figure it out when looking at the various field types and possibilities. You could try a new test field first to not mess up anything, then delete that later again.)