Although it's called a square, it is, in fact, a road filled with greenery and plants. It makes for a great stroll in the city because you get to enjoy the nature at least a little bit, despite being in a busy area. The "square" was built over a canal.
The place is located a few minutes of walking from the Kongens Nytorv metro station (lines M1 and M2), or you can also get here by bus 66, station Sankt Annæ Plads, Skuespilhuset.
Wikipedia https://en.wikipedia.org/wiki/Sankt_Annæ_Plads
Address 12 Sankt Annæ Plads, København 1250, Denmark
Coordinates 55°40'53.48" N 12°35'29.728" E