You may come from a culture in which long working hours are a way to show your dedication to the job and to the company. In Denmark, long working hours are not necessary unless there is a special rush project. The idea is that most jobs should be do-able in the 37.5 hours per week you are paid to do them in.
That said, you are expected to be focused on your work during working hours; personal phone calls, web-surfing and non-work related errands should be done on your own time. (Taking time off for medical or dental appointments is OK - but try to book them at the very beginning of the workday or the very end. Remember that members of the Finansforbundet are covered for dental care up to DK30,000 a year, which means that only your teeth will hurt, not your wallet.)
You will notice that many of your financial services colleagues begin leaving the office around 3pm to pick up their children from day care: both men and women will do this, although they sometimes log on to their computers again after their children are in bed. Try not to book meetings around this time, because some of your colleagues won't be able to attend – or they'll have to re-arrange their schedules to do so. It's also considered poor form to ask your colleagues to check their email during vacation or on weekends, with the possible exception of Sunday night, a time when many professionals prepare for the work week ahead.
When you're sick, it is considered good manners to stay home from work in Denmark so you don't make your colleagues sick as well. Don't bother a colleague who is home sick unless the matter is very urgent. You'll also find that some of your colleagues will take time off work to care for a sick child at home. (Parents can take up to five days off to care for a sick child if their company has an agreement with the Finansforbundet.) If the colleague himself is not ill, it's OK to mail him or call him with simple questions or ask if he is able to participate in a phone conference.
Some companies will allow you to take a "work from home" day as often as once a week. This is a great way to catch up on paperwork or concentrate on an important assignment. Never abuse this privilege; if you are found to not actually be working from home, it will be a serious break in the trust that is so important in Danish offices. If what you really need is a day off to rest, do errands, or welcome visitors, take an official vacation day to do so.
Vacation days are generous in Denmark, and financial sector employers that have an agreement with the Finansforbundet offer even more than the average. Each year on the job comes with 25 vacation days, and you may have the option for five more. In addition, all financial sector employees five "self-care days" per year. These can be used like vacation days when you need some personal time off work.
Schedule your vacation as far in advance as possible, particularly for peak periods; your Danish colleagues will, and you can expect some competition for who gets to take off during the best parts of summer or around the Christmas holidays. Note that travel prices are also the highest during these peak periods, so you can save money if you take your vacation at another time.