Just like setting up a domain, make a Fully Hosted domain called co.se and one called co.dk (assuming your domain is something like domain.co.dk). You get the idea.
Then you'll be able to set up a fully hosted domain called DOMAIN.co.dk, and so on.
It's 99% of the time necessary because the DreamHost panel assumes that all domains are second level domains (i.e. DOMAIN.com) and already knows about .com, .org, .net, etc. It's like if you try to create SUB.DOMAIN.COM, but you haven't set up DOMAIN.COM yet. DreamHost will error because it doesn't know about DOMAIN.COM yet.
To make a long story short, .se and .dk "domains" really look like subdomains, and you need to create the .co domain first.