Applications for residence permits for Iceland should be sent directly to the Icelandic Immigration Authorities:
Directorate of ImmigrationUtlendingastofnunSkogarhlid 6105 ReykjavikIcelandTel. 00354 510 5400
Once the application has been approved, an authorization for a long-term visa (D-visa) will be sent to the visa office at the Danish Embassy, who will then issue the visa.
Link: Icelandic Directorate of Immigration