The wedding ceremony of Frederik, Crown Prince of Denmark, and Mary Elizabeth Donaldson was held on 14 May 2004 in the Lutheran Cathedral of Copenhagen, known as "Church of Our Lady". It is situated on Frue Plads public square in central Copenhagen.

Construction of the church, built in Romanesque style, began around 1187. In 1314, a fire destroyed the limestone church so completely that it was rebuilt in typical Scandinavian oversized red brick. The style of building was Gothic and the rebuilding continued until 1388. The present-day version of the church was designed by the architect Christian Frederik Hansen (1756–1845) in the Neoclassical style and was completed in 1829.

During the Reformation, Danes had elected to follow Luther, but Roman Catholic officials at St Mary's tried to maintain the church as a center of Catholic resistance to change. On 27 December 1530, hundreds of citizens stormed St. Mary's, destroying every statue and dismantling the choir stalls. Even the name "St. Mary's" became "Our Lady's Church" ("Vor Frue Kirke"), keeping the historic reference to the Virgin Mary without the use of the un-Lutheran "Saint" appellation.

The building measures 83 m in length and 33 m in width. The interior of the nave is 60 m long and over 25 m from floor to ceiling. With all galleries open, the church can seat more than 1100 people. The tower is 60 m high and houses the four church bells. It offers daily services.

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