General support schemes are not very good and availability of funding and funding amount typically depends on the country where you want to do an exchange. Since the support schemes are always changing, new ones come, and existing ones are revised, we recommend you to stay informed on www.iu.dk and through your student counsellor.
The following schemes are currently interesting:
The Denmark-USA/Canada programme: Support may be granted to approved and merited study abroad and internships with up to DKK 12,000 (2011)
Read about other funding opportunities / scholarship schemes at www.udiverden.dk