walked into copenhagen's main train terminal, his camera recording every moment. >> it was a very professional wato plan a terrorist attack. he was doing reconnaissance and planning in denmark, and that he was subsequently able to pass over part of the planning to terrorists in pakistan. >> rotella: headley's reconnaissance of copenhagen was sponsored by a notorious terrorist named ilyas kashmiri. at the time, he was reporting to osama bin laden. headley was working for al qaeda. >> rotella: it's very chilling you know, because headley gathers all this information-- the videotape, the notes-- and he meets with one of the most fearsome terrorists in the world, ilyas kashmiri. and they have a detailed conversation about how this plot would go down. three or four attackers with automatic weapons who go in and take hostages, but add a wrinkle, which is the beheading of hostages. kashmiri says, "you shoot the hostages first. it makes it easier to behead them. you behead them, and you throw the heads out the window." >> it is without doubt the most serious plot that denmark has had. this is a symbolically powerful target. this is it. there is no other more powerful way which all