What is the name of the song ?

The march music is called "Dronning Ingrids hønnormarch" (Queen Ingrid's Salute March) and was written in 1935 by Kai Verner Nielsen (1899-1961). It was a present for the then Crown Princess Ingrid for her wedding with the later King Fredrik VIIII. The parade in the episode are marching in a way that was specefic for the late 30s but which had been changed by the time of filming in the 1970's.