by Ruth.R.Gentry » 26 Jan 2011, 23:45
British Airlines and Kingfisher Airlines have codeshare agreements. You can be ticketed in Denmark and have your luggage checked-through to Mumbai. Hence you can transit without a visa. On arrival at Heathrow at Terminal 5 just follow the signs for flight connections. A dedicated bus will transport you to terminal 4 without the need to pass British immigration.
http://www.ukvisas.gov.uk/en/howtoapply ... transit#Q5 ..
Edit: based on an additional answer
@ norbor: please read through the websites you have provided concerning the visa exemptions:
• A valid common format category D visa for entry to an EEA state.
• A valid common format residence permit issued by an EEA State pursuant to Council Regulation (EC) No. 1030/2002
Denmark is an EEA state; the residence permit issued to students is in compliance with EC 1030/2002; the type D visa also complies with the requirements..