Knowing which county the genealogical records are kept is only your first step. For most records, you need to know the parish to find the records. Then it is a matter of finding the farm where you ancestors lived, and tracking through that farm. Because of the patronymic naming patterns, finding relatives is much easier if you know the farm name. Below are a number of links to assist you in finding the parish and farm names.
Denmark:
https://da.wikipedia.org/wiki/Danmarks_amter_(1793-1970)
https://www.familysearch.org/wiki/en/Denmark_Parish_List
http://www.krabsen.dk/stednavnebase/
Norway:
https://www.familysearch.org/wiki/en/Parish_Listing_Norway
https://www.dokpro.uio.no/rygh_ng/rygh_form.html
Sweden:
