Thank you for the reply (and sorry for taking a bit of time before getting back to you).
It's hosted on simply.com (previously called unoeuro). The suggested post seemed to solve the problem by changing webhost, but honestly I don't think I'm willing to try that just to get it to work, since it would be quite an added expense (I don't know what they were talking about when it came to SSL though). And the suggested post in the suggested post doesn't seem to mimick my warnings (they only showed up during the installation process).
Simply.com checks all the software requirements for PW as far as I can tell (though I'm unsure about these two in the recommended-but-not-necessary list: multi-byte string support and short tags turned on). Beyond the two warnings, things seemed fine otherwise when I ran the installer (everything had a checkmark in front of it).
About the charset thing, the examples shown seems to be from an earlier version of PW - I couldn't find the admin based page shown in the screen shots, but the error showed up again the first time I logged in today, and said I had to add a line of code to the config.php file. Though, do I just add this:
setlocale(LC_ALL, 'da_DK.UTF-8');
at the bottom of the document as is, or do I need to add any $config-> part before it (like all the other lines have in that file)?