You can find so much information about it via Google, in forums, etc. I can’t image that you don’t find it when you motto is “Life is what happens to you while you are looking to your smartphone.”
Most language schools offer accommodation, too. So you could simply write to schools and ask for more details. If you have a health insurance in Denmark, it most likely covers you also in Spain. I suggest to ask your local health insurance company.
I took Spanish lessons at a school called Ailola Madrid. You guess it, it’s in Madrid I enjoyed Madrid and it has very fast train connections to Barcelona, Sevilla and Valencia. I stayed in a host family booked through the school. The school offered many free activities. It wasn’t so expensive. I think I paid about 200-300 Euros per week (accommodation + course).
If you stay for a long time (=months) in Spain, you could try to find your own room in a shared flat and save some money. You should stay at least 3 or better 6 months to find something adequate. You might find something for as low as 300-400 Euros per month. However you should consider that laundry and meals are not included and you need to pay for that extra. Sometimes you need to leave a guarantee deposit. So you might end up with a similar amount you are paying to a school but with more hassle.
The price for meals is similar like in Denmark.
All the best,