In the Council of State on 8 October 2003, Queen Margrethe gave her consent to the marriage of Crown Prince Frederik to Mary Elizabeth Donaldson, an Australian marketing consultant whom the prince met when he was attending the Sydney Olympics in 2000. The wedding took place on 14 May 2004 at Copenhagen Cathedral.
On 25 April 2005 the Danish royal court announced that Crown Princess Mary was pregnant with the couple's first child, and on 15 October 2005 she gave birth to a Prince. As it is a tradition in the Royal House that kings are named either Frederik or Christian, the baby was baptized Prince Christian Valdemar Henri John on 21 January 2006. (source)
Thank you Betty!