How do I enter interest income (1099-INT) without having it shown as taxable income? I live in Denmark and by tax treaty such income is only taxable in DK.

If you need to enter adjustments to interest income reported on Form 1099-INT, look for the follow-up screen "Do any of these uncommon situations apply?" and choose "I need to adjust the interest reported on my form". On the following screen, enter any subtraction as a negative number and select a reason for the adjustment from the drop-down menu.

Please see this IRS article on tax treaties and how they affect your US return depending on your status.