Hi Musawvir you can go directly to the Danish Ministry of foreign affairs in Copenhagen.
Ministry of Foreign Affairs
Asiatisk Plads 2
DK-1448 Copenhagen K
Monday - Friday: 9.00 - 12.00
Thursdays also between 13:30 - 15:30
Tel: +45 33 92 12 33
Monday - Wednesday: 14.00 - 15.00
or you can still send it through Post to them. any of the 2 will be fine. But if you want to get it the same Day you should go directly to their office. if you send it through Post it will take about two Weeks before you finally get it.
Read the Following links Carefully it's directly from the Danish ministry of foreign affairs Copenhagen it consists of everything you need to know about the Legalisations of Danish Documents
Good luck and best regards