First off, you'd have a lot more luck in the InDesign forum (devoted to the app, really busy, lots of knowledgeable people posting) as opposed to the Design forum where you actually posted (almost no traffic, supposed to be about design issues, not the InDesign application).
However, to answer your question: you won't be using the Microsoft Word dictionaries, as they are going to be in a file format that InDesign does not understand. InDesign has a built-in Danish dictionary, I think - you can select some text and then select Danish from the Language dropdown. Or, you can define the language in a paragraph or character style. I have never worked in Danish and have no experience with the usefulness of the built-in Danish dictionary:
In addition, CS5.5 has support for free Hunspell dictionaries which you can download and install - see the help section on "Hyphenation and spelling dictionaries." But the MS Word dictionaries will not work.