Using VPN, and most sites I visit with no problems. But some sites test my computer configuration (I guess) and find out that I sit in Denmark. How and which thing do I have to change on my PC ?

I don't entire understand your question.  Are you asking how your location can be identified even if you are using a remote proxy?

The typical answer is that they can get a fair amount information directly from your system, not your IP or Browser by using Flash and or Javascript.
 

Yes Noway2, I'm looking for info about where they get the info about my country.
Are you telling me that if I don't use Flash or Javascript, they can't find out ? My VPN work perfect nearly everywhere, but severel Site's tell me that I'm restricted because I sit in Denmark.  

Is the VPN in Denmark?  If so, geo-ip would provide this as your location.  

I wouldn't say that Flash or Javasript are the only ways that you can be identified, but they would be common and easy ways for you to be identified. Any application running on your system can leak information.

It is also possible that you you are being blocked because you are using a proxy service and the outbound IP address is known as being associated with this proxy service.

Another thing to keep in mind is that your application, browser or other, needs to be configured to use the proxy tunnel, which is probably a Socks proxy.