What was the name and location of the country house / castle that was
the main setting in Thomas Winterberg's Dogme movie, "The
Celebration"?

"The Celebration" ("Festen") was filmed at a hotel called
Skjoldnæsholm, in Denmark.

"Filming Locations for 
 Festen (1998)
 Skjoldnæsholm, Jystrup Midtsj, Denmark" 

Internet Movie Database
http://imdb.com/title/tt0154420/locations

Here is the hotel's website (in Danish):

Skjoldenæsholm
http://www.skj.dk/

My search strategy began at the Internet Movie Database. Once I found
the name of the hotel, I used this search string to find the hotel's
website:

Google Web Search: skjoldenæsholm hotel
://www.google.com/search?hl=en&q=skjolden%C3%A6sholm+hotel

I hope this is helpful. If anything is unclear or incomplete, please
request clarification; I'll gladly offer further assistance before you
rate my answer.

Best regards,
pinkfreud

Perfect! Exactly what we were after - thanks very much.