They are called "Pebernoedder" in Danish. It translates to Pepper Nuts, although they are not nuts. Also they don't contain pepper anymore. The pepper was mainly used for conservation. This is my grand-mothers recipe. The cookies are supposed to be hard and heavy.
Mix the ingredients. Roll it to make a cylinder as thick as a thick finger. Cut it in 1 inch pieces. Bake 5-10 minutes at medium heat (Take them out when they look done).