You mean you're typing this at a console bash prompt? That won't work!
Instead try "loadkeys dk" for the console sessiosn (I think you need to be
root for that). For your KDE session, use the KDE keyboard-selection tool,
or edit the /etc/X11/XF86Config-4 file, and replace the line
Option "XkbLayout" "us"
with
Option "XkbLayout" "dk"

As for locale, knoppix is setting the following for DK:
  • # Dansk version
    COUNTRY="dk"
    LANG="da_DK"
    # Workaround: "dk" broken in gettext, use da:da_DK
    LANGUAGE="da:da_DK"
    CHARSET="iso8859-15"