Last year they ran into some problems when they called the danish navy and asked 'is it ok with you guys if we tow our 115000 horsepower rocket through danish territorial waters using the largest homebuilt submarine ever built?'
unsurprisingly, the initial answer was that it was not ok. They got it solved though.
There seems to have been some negotiation this year also, due to a conflict with a NATO training exercise. In the end they ended up getting permission for a five-day window, according to this Danish article (Google Translate link): http://translate.google.com/translate?js=n&prev=_t&h...
http://www.copenhagensuborbitals.com/
I hope someone has told the Russians:
http://en.wikipedia.org/wiki/Norwegian_rocket_incident