Maybe this page will help: https://help.ubuntu.com/community/LocaleConf
If not, I have no experience with Ubuntu itself, but on most systems you can use the standard Linux tools:
First of all, you should be able to load danish keys in the command line interface with the command "loadkeys dk-latin1".
You can also edit your /etx/X11/xorg.conf file to use the "dk" layout under the keyboard section.
Other than that, it seems that you need the "console-setup" and "locales" (possibly also "localeconf") packages to get it started on Ubuntu.
Most pages I found suggests, however, that this should be chosen during installation.