You can create "Nyheder" category and assign it to all the relevant posts. http://en.support.wordpress.com/posts/categories/ When you do that then when the posts are published the software will automatically display them on the dynamic Category pages.

Then you can create a custom menu http://en.support.wordpress.com/menus/

Next you add the dynamic "Nyheder" category page into custom menu.
http://en.support.wordpress.com/menus/#adding-category-pages
http://en.support.wordpress.com/menus/#changing-the-order-of-menu-items-and-creating-sub-menus

Here’s a link to a custom menu walk-through > http://onecoolsitebloggingtips.com/2011/08/11/wordpress-com-custom-menu-walk-through/

There are many common errors, misunderstanding and misconceptions when creating custom menus and you can read about them here > http://wpbtips.wordpress.com/2011/12/19/custom-menus/

Best regards Mathias