DTU requires VPN access for most services when accessed from outside the DTU network. For any inquiry related to this service, you have to contact central IT at the Service Portal (it requires a valid DTU login).
The VPN client
Go to https://net.ait.dtu.dk/vpn/ and download the client suitable for the operating system you use.
The multi-platform tool openconnect should also work.
Install it, and use vpn.dtu.dk as server name. Connect with your DTU username and password, and it will then ask you to authenticate with your second factor.
Multi Factor Authentication
DTU requires Multi Factor Authentication (MFA) for the VPN also. You can find the official instructions on how to set it up here.