[inquisitor]

In Denmark they use GSM900/1800 and UMTS2100 like in most other countries. I guess your friend's provider has only one roaming partner in Denmark with inferior coverage or his SIM is being refused by one or more roaming networks due to technical problems.

I had such a problem in Sweden with the Tele2 Comviq network last year, when my German simyo SIM card was sporadically refused when trying to register and sometimes handovers failed while moving form cell to cell. Also data connections failed from time to time, allthough they worked seconds earlier.
That can happen when communication between the VLR of the roaming network and the HLR of the home network or one of these instances is faulty.

But also keep in mind that attenuation is quite high when you are surrounded by concrete walls (especially if reinforced by steel) and coated windows, which may be the case for an office building.