Yeah that song is pretty ridiculous but very helpful. As an American, much respect to the Danish Alphabet!
This is the norwegian pronounviation btw, but Ø and Å is pronounced the same anyway.
it's more or less like German ö or French œ. You start by pronuncing the o of English "boy" then you push your lips forward as if you were going to give a kiss. Do it in front of a mirror and after a few tries it will work.