Nice download, 80Mb zipfile, but anyway. Some gXXgling reveals that your .dsf files represent an example for the 'Danish National Format' dsfl, wich is a text format, but not xml.
Unfortunatly I think that this is one of the few formats not directly readably with qgis, or gdal, rsp.
I succeeded in opening your files (KORT10) with FME (https://www.safe.com/...
Instead of choosing a whole municipality you can "Tegn et område" (draw an area) and woopti you can choose other data formats including .shp. I have no idea why it is like this.
Direct link to download of Kort10 data
Not come across this format before. It seems to be either a Vector drawing format or a 3D mesh format used in X-Plane (a flight sim).
It might be worth looking at OpenGeoXPlane if it's the latter, they have various tools on there which might be able to help.
Also, at the foot of the Vector import file types combo I see there's an option for X-Plane/...