The visa to Denmark can be of several types, depending on the purpose and duration of the trip. Typically, the type of visa is indicated by letters on the visa sticker. Most likely you will need a transit visa of type B.

B - transit visa, which is issued for transit through the territory of Denmark for the continuation of travel in any other country. Transit visa is issued for one or two trips, less often (for good reasons) - for several. Any transit trip can not last more than five days.

More about the visa to Denmark you can read here