Denmark is listed as one of the Schengen countries. This means that you can use a Schengen Visa to enter into Denmark. You can apply for your Schengen Visa at the Denmark embassy in Nigeria or at the Embassy of any other Schengen Country in Nigeria.
Denmark has an embassy in Lagos and Abuja respectively. To visit the Abuja embassy, go to Plot 63, Europe House, Usuma Street, Maitama. You can also make enquiries through phone number +234-9-523-3794-5.
The Lagos embassy is located at Maersk House, 121 Louis Solomon Close, P.O Box 72554, Victoria Island, Lagos.
Email address is firstname.lastname@example.org.