Whether you need to change your foreign driving license for a Danish driving license depends (among other things) on where your driving license is issued and whether you have normal residence in Denmark.

You may read more about whether you need to change your driving license and how to do it at lifeindenmark.dk and on the website of the Danish Road Traffic Authority (Færdselsstyrelsen). 

lifeindenmark.dk

The Danish Road Traffic Authority

You must book an appointment with Citizen Service (Borgerservice) at Dokk1 to change your driver's license. 

Book an appointment to change your driver's license at Dokk1