The Fortification of Copenhagen is an event for 
Denmark.
It requires that the capital of Denmark is Copenhagen. It is at the start of the game, so Denmark has to be annexed and reliberated in order for this condition not to be present. Then Denmark has to border either 
Prussia or 
Germany. 
North German Federation doesn't count. At the start of the game, 
Holstein and a bunch of other smaller German states lies between Denmark and Prussia.
Then the event can happen between 1885 and 1890. It has a mean time to happen of 8 months, which decreases by 25% after 1886, and by 5% after 1888 and 1889.
It gives the player two choices
1) Strenghen the defenses of Copenhagen which gives a level 1 fort at the expense of 1000£.
2) It's an unnessecary expense which gives all 
officer and 
soldier POPs 1 consciousness.
Both options do also make 10% of the population in favour of anti military and 5% in favour of jingoism.
1000£ is way cheaper than building a fort the normal way, so if one has money in the bank, it is a good idea to build the fort.
Ingame text
From 1886 to 1892, more than 25 modern fortification were built on Sjaelland to ensure that any possible threat from Germany would be thwarted