Do you need the shop for shopping or playing in it?
But there's a ton of stores in Copenhagen and a couple in smaller towns that you pass along the way.
The biggest in Copenhagen is (off the top of my head):
Faraos Cigarer
Games Workshop
Fantask (used to carry
GW I think - I'm not actually from copenhagen

)
But just google the first two, those are large and Faraos has historically at least had a large and active group of 40kers.