When importing from bibliotek.dk, first click on Select and Order and then on Memo
Once you have selected all the references you need, go back to the top of the page and find the item that says Menu
Then click on Memo
In the Memo, select all the references and click Download them in RIS format ........
Once the file has been downloaded, drag the file into Mendeley depending on which browser you are using - see under Import / Browsers if necessary