At trollmap.com you can find out where you get the first clue for your hunt for "Old Cave Hand", as the troll is christened. Here you can also see that they recommend you bring your bike, as the route is approximately 5 km.
You can find Thomas Dambo's trolls all over the world - there are also several in Denmark. You can find the other trolls on trollmap.com and see more photos at thomasdambo.com