If you are new to cycling in Copenhagen, you want to survive, not get fines and keep your bike. That is not as easy as it sounds.

Survival tricks
Stay to the right of the bike lane. It can be scary if people pass you on your right side.
Signal to the other bikers what you intend (left, right, stop).
Don’t do anything until you have seen what’s going on behind you. Somebody might just be passing you.

Avoid fines from the police by
Not riding on the sidewalk
Not riding in a pedestrian crossing
Not riding the wrong way in one-way streets
Not having your phone in your hand while you ride
Not passing the red light
Have lights on your bike at night.

You (might) keep your bike by
Parking it inside your yard or building
If you park it in a public area, lock it to something (streetlight, bench, bike stand, fence). If you just lock it by blocking the wheels, it might be picked up by people collecting bikes in vans.