Until now they've developed solid rocket boosters, parachutes, recovery programs, astrouanut survival and cockpit, etc. etc. and have not run into major problems yet.
Some links:
Website: http://www.copenhagensuborbitals.com
Static test of solid rocket booster (110.000 HP): http://www.youtube.com/watch?v=3g_xjGOJRws&feature=relat...
TEDx talk by Christian Von Bengtson: http://www.youtube.com/watch?v=ua9oGxNNGd0
All their technology is open source by the way.
Shameless plug: These guys survive on donations, and a few months ago I helped start a support organization to help them survive economicvally. It's $20 a month to be a member, and we really need more members so we can get these guys into space. If you feel this is a worthy cause and want to join send me an e-mail (it's in my profile). Our website is http://raketvenner.dk/ (currently only in Danish...)