I would personally say this is the best royal documentary out there. I absolutely LOVE it
It was actually released on DVD in 2003 with choice optional Danish, English, or Norwegian audio although unfortunately not in region 1. I was extremely lucky to receive a copy two years ago from the maker of the documentary herself (a long story!). She gave it to me absolutely free of all charge (they weren't allowed to sell it because they lost the distribution rights when the copyright on the film material expired) as a gift and shipped it from Denmark to the United States. Luckiest moment of my life so far!
The companion book, which I also have, is great too