Most likely the router in Denmark. You need to make sure you port forward a TCP feed for port 5001 (the port the Slingbox uses). It HAS to be a TCP feed only for the SlingCatcher to work. NOT UDP or any other option. Once this has been done I'd do the Slingbox set-up again.
All routers work differently but all have port forwarding. If you aren't at the Denmark location then get someone on that home network to do this for you or access a computer on that network remotely by using www.logmein.com
Once that's sorted the SlingCatcher should connect.