Do not make fun of the Danish language. Danes are proud of their language, and they don't appreciate it when people make fun of it. If you're not fluent in Danish, just ask your friend to help you pronounce words correctly.
Do not talk about the cost of living in Denmark. Denmark is one of the most expensive countries in the world, and Danes are very aware of this. It's best not to bring up the cost of living unless your Danish friend brings it up first.
Do not talk about the Danish welfare system. Danes are very proud of their welfare system, and they don't appreciate it when people criticize it. If you have questions about the welfare system, just ask your Danish friend to explain it to you.
Do not talk about your salary. Danes are generally very open about their salaries, but they don't appreciate it when people ask them how much they make. If you're curious about Danish salaries, just do some research online.