You start by figuring out at which university you prefer to be based. If you are admitted, you will be enrolled and take courses at all five universities, but you have to be based at one of them. If you are considering to apply, it is a good idea to contact the professor in charge at the university of your choice:
Oslo, Anders Runesson, anders.runesson(att)teologi.uio.no
Lund, Andreas Westergren, religiousroots(att)teol.lu.se
Helsinki, Antti Marjanen, antti.marjanen(att)helsinki.fi
Copenhagen, Martin Ehrensvärd, meh(att)teol.ku.dk
Aarhus, Jakob Engberg, je(att)cas.au.dk
Note that the admission requirements are more or less the same for each university, but the application deadlines vary considerably. If you are the citizen of an EU country, you can be based at any of the five universities without paying tuition. If you are not, you can still be based at Oslo or Helsinki university without having to pay a tuition fee.
An interview with a Lithuanian student