Playing as Denmark or any other small country for that matter, how the hell can u successfully defend ur country against there mighty navy?!
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By far the easiest non-gamey-cheating way is to rush naval techs, get one of the major ship upgrades (early game: ironclads, late game: dreadnoughts are the two best ones) before them, and sink their fleet of outdated floating coffins. Make sure you get what you want out of them in that war because you will find it difficult to keep up when they do upgrade their fleet afterwards (at least as a smaller nation like Denmark; a country like France or Germany should be able to perpetually keep ahead with a head start and opportunistic war-declaring to keep the Royal Navy's numbers down).
In gamey cheating ways, you can either do the "lend them some transports loaded with your troops, sail into their port, declare war and thus occupy Britain without having to fight the navy" trick, or just get a foothold in India. Because each minor Indian satellite gives you +20% warscore when you occupy the capital, you can repeatedly force Britain to terms simply by smashing their Indian allies.
In gamey cheating ways, you can either do the "lend them some transports loaded with your troops, sail into their port, declare war and thus occupy Britain without having to fight the navy" trick, or just get a foothold in India. Because each minor Indian satellite gives you +20% warscore when you occupy the capital, you can repeatedly force Britain to terms simply by smashing their Indian allies.