"Finger prints? Who sent you?"

This is the story of when I was interrogated by the Danish Department of State and was left feeling very confused.
This summer I'm working for a high-profile government agency whose name I will leave undisclosed out of matters of self-protection. It's better for me that I still have a job waiting for me when I leave here. So today I went to the U.S. Embassy to get my fingers stamped, something that should be a normal, completely non-suspicious procedure anywhere else but here.
Dialogue:

Me: I need to get my fingerprints made. I was told by my work that I had to come here and get them.

Danish government-enlisted woman behind window: HVAD!? (translation: WHAT?!)

Me: Yeah, I don't know. I just was told to come here because I work for (name removed) and need them.

Woman: I'm sorry. We absolutely do not do that here. You have to leave.

Me: I'm sorry, too, I'm very confused right now.

Woman: (Closes window, walks away, loudly speaking Danish that I wished I could understand.)

The moments after this are when I am sent to another room where I am subtly accused of suspicious acts I never knew I was capable of doing.

Man:  Who sent you to get these?

Me: (Stammering) I just need to get my fingerprints taken. I'm not going to do anything with them! I just need to send them to where I work!

Man: What's in your water bottle?

Me: Water!

Man: Take a sip of it.

Me: (Takes sip, thinking, 'This is a very unnecessary procedure. If I actually was plotting terrorism (and do not read into that) I would make sure I was immune to whatever was in my water bottle.' Thankfully I do not choke and my water is deemed innocent.)

Man: What are you doing in Denmark?

Me: Studying.

Man: Studying...?

Me: Um, politics.

Man: I see.

Man: (Writes something down. Awkward silence ensues.)

Man: Studying politics in... Denmark...?

Me: I know, it doesn't really make sense.

Man: There are a lot of differences.

Me: Yes, I see that.

Man: Where are you studying at home?

Me: The University of Minnesota.

Man: No way! I went to school there too!

Me: Thank God.

So thank you, University of Minnesota, for helping me establish the identity of innocent non-terrorist when I needed you the most.