I have made an ICS feed containing a long list of events. My timezone does not seem to work.
In the sample below you see that my event should start 07:55:00 and end
You've specified that your event starts at 07:55 in UTC - that's what the Z at the end shows. If you want it to be in local time, you shouldn't have the Z, and you should probably specify the time zone there too:
DTSTART;TZID=Europe/Copenhagen:20110926T075500
DTEND;TZID=Europe/Copenhagen:20110926T093000
Alternatively, specify the UTC start and end time using Z, but taking account for the relevant time zone difference - so an event that starts at 07:55 in Europe/Copenhagen at the moment is actually 05:55 in UTC.