You need to visit the Danish embassy/consulate (or perhaps an embassy of another Schengen country which handles applications for Denmark in your current location), and fill the application provided there. Usually you will be asked for the following documents:
- A copy of your passport a long with your original passport.
- Passport size photo, clear, no head cover, no smile, light background.
- Bank statement for the last six months to show that you can cover the trip expenses.
- Or, a job certificate from your employer showing your income.
- Invitation letters from sponsors (if available)
- Application fee (differs from embassy to another, country to another)
These were the usual requests, sometimes they ask for more or less. It also depends on the country you request the visa from, but generally getting the Schengen visa is easy as long as you provided the papers they ask for. Remember, it takes around 2 weeks usually for the visa to be issued.