As of today (12 Nov. 09), the following is still valid: access Youtube; search "tsar nicholas II denmark"; locate link entitled "Tsar Nicholas II in Denmark 1901"
The clip is slightly less than a minute (0:56), but it shows members of the Russian, Danish, and British royal families at a an official function (perhaps an arrival?) in Denmark (probably in/near Copenhagen); among them:
Dowager Empress Marie, Empress Alexandra, Tsar Nicholas II, Queen Alexandra (?), and Crown Princess Louise of Denmark with two of her daughters (?).
Unfortunately, most of the clip is in long- or medium-shot; still, if you replay it, you can finally identify most of the people in it.
Good luck!