A EPSG code is a unique identifier of a Coordinate Reference System (CRS). The reason it is named a ESPG code is that the system of codes was originally developed and maintained by the organisation “European Petroleum Survey Group” (ESPG). This responsibility now rests with the “International Association of Oil & Gas Producers” (IOGP). While there are some Coordinate Reference Systems with commonly used names such as WGS84, most Coordinate Reference Systems have long, complex names and it has become common to reference them by their ESPG code. In QGIS, you can, for instance, change the Coordinate Reference Systems of the map display in the bottom left corner of the user interface
You can explore a Shortlist of Danish, European and Global CRS