Complex sentence: In 1711 the King fell in love with Anne Sophie at a masquerade ball in Koldinghus, the permanent residence of the royal family that season, and wanted her as his mistress, which her mother refused to allow.
Split into simpler sentences: In 1711 the King encountered Anne Sophie at a masquerade ball in Koldinghus, where the royal family resided that season. He wanted her to become his mistress, which her mother refused to allow.