my apologies for the insanely late reply. I somehow overlooked your thread.
Generally speaking I would discourage you from running a multilingual blog. It can be done, but in my opinion it’s better not to.
Aside from complicating things logistically, you will be likely to turn off the overwhelming majority of visitors who don’t speak Danish.
My suggestion would be to either have two separate blogs, or to translate each blog entry so that you provide both an English and a Danish version of your posts.
The first one is probably the best option though, and it grants you the ability to talk about different things at times in the two blogs. For example, a post about a local conference for Danish speakers would probably not interest English speakers, even if your announcement were to be translated in their language.
For WordPress support, you should check out this Multilingual WordPress page: http://codex.wordpress.org/Multilingual_WordPress, if you haven’t done so already.
Again, I’m very sorry for the unintentional delay.