It looks to me like your permalink settings are not right. What settings do you have under Events > Settings > Pages > Permalink Slugs?
Events = -Kommende arrangementer- e.g. http://pand.dk/Kommende arrangementer/2012-olympics/ – you can use / Separators too
Lokationer = -Sted- e.g. http://pand.dk/Sted/wembley-stadium/ – you can use / Separators too
Eventkategorier = -events/categories- e.g. http://pand.dk/events/categories/sports/ – you can use / Separators too
Event tags = -events/tags- e.g. http://pand.dk/events/tags/running/ – you can use / Separators too
The last two look ok, but I would change the first two so that they are all lowercase and don’t have spaces. Like this:
kommende-arrangementer
sted
Save the changes, then go to Settings > Permalinks on the main WordPress menu and re-save your permalinks (no need to make any changes to that page).
That should get the Events Manager pages working correctly. I think it will stop the other error message too.