The Swede, who will retire at the end of the season, headlines the Ladies European Tour event at Simons Golf Club.
Im on a kind of goodbye tour and am happy to play in some of the countries that I dont get the chance to visit too often, Sorenstam said Thursday on the eve of the 54-hole tournament.
A winner of 10 majors and 72 LPGA titles, Sorenstam plans to get married, start a family and focus on business and golf interests.
The 37-year-old Sorenstam was invited to play in the tournament by Solheim Cup teammate Iben Tinning of Denmark, who is competing on her home course.
It was Iben who convinced me to play in the Nykredit Masters when we played in Dubai last winter, said Sorenstam, who played in Denmark as a junior. Every tournament is a goodbye for me, and now I look forward to soaking up the atmosphere in Denmark.
Sorenstam is looking for her fourth title of the season, following three wins on the LPGA Tour.
She is paired the first two rounds with Tinning and Martina Eberl of Germany, the recent BMW Ladies Italian Open champion.
Tinning, who won the tournament in 2005, is one of 15 Danish players in the field, along with 2006 winner Karen-Margrethe Juul and Lisa Holm Sorensen.
Lisa Hall of England is the defending champion. She won last year in a one-hole playoff at Helsingor Golf Club.