I found a list of HM the Queen's Ladies in waiting, they are as follows
Hofdame, kammerdame, komtesse Wava K. Armfelt
Hofdame, fru Marianne Boel
Hofdame, fru Ane Vibeke Foss
Hofdame, kammerherreinde Camilla Castenskiold
Hofdame, oberstinde Annette de Scheel
(Hofdame simply means Lady in waiting). (Oberstinde means that she is married to a colonel) (Kammerherreinde means that she is married to a Chamberlain)
HRH Princess Alexandra has one Lady in waiting: Hofdame for H.K.H. Prinsesse Alexandra, Fr. Christine Lyng ( she was the beautiful blonde in the light blue dress )
HRH Princess Benedikte has one Lady in waiting: Countess Karin of Rosenborg.
The info can be found at
www.kongehuset.dk under organisation, Hofstaterne, Hoffets medarbejdere.