Every country has its own specialities. Perhaps Danish food is totally different from what you are used to, but it is precisely the daily meals which might be one of the most exciting experiences you can have in a foreign country. They think we eat well, substantially and generously. It shouldn't take long to appreciate the dark rye bread which is eaten with different kinds of meat, cheese etc. These often consist of meat, white potatoes and sauce.
Fish is enjoyed by nearly all Danish families.
The way of eating can also be different. The wisest thing for you to do is to watch how other people do it - and then do it in the same way. After all, you have come to Denmark to live like a Dane. Those exchange-students should not have to come to Denmark. They were not mature enough to be visitors to another country.