You go straight and stop at the end of the intersection. Wait for lights to change and cross again.
I would honk if someone took a left turn in front of my car on their bicycle in Copenhagen.
In many other countries, bicycles turning left are expected to move to the middle of the leftmost lane and make the turn exactly as a car would. It's hardly surprising that those countries don't have so many people cycling as Denmark or the Netherlands.
Bicycles are supposed to be on the road, pedestrians are not.
The point is, that they aren't suppose to be in the middle of road.
You see, there is a system. Starting from the right: pedestrians, bikes and lastly cars. We never deviate from that system, that way everyone always know where everything is. Sometimes there's a bike lane, but that still goes between the pedestrians and the cars.
Also, if everything else fail, and this is what kids in Denmark is taught. If you're ever in doubt if the drivers have seen you, assume they haven't and stay away from the cars. You're on a bike, it's a great means of transportation and it's really safe (at least here), but if you're hit by a car, it's going to hurt you more than the car, so stay away from them.
I think it's weird that people in countries that have the most cyclist are also the people who least of all believe that bikes have some weird right of way or than bikes should just be in the middle of heavy traffic.
In other countries, bike infrastructure is sparse, poorly designed, and frequently dangerous. Bicyclists must drive defensively to stay alive. Sometimes this means taking the full lane because staying to the side puts you in danger of dooring or makes you vulnerable to aggressive drivers who will squeeze by without adequate space.