According to this article, in the documentary, Nikolai talks about how much he loves his stepfather, Martin Jorgenson.
Prins Nikolaj er vild med Martin - Royale - BT.dk
The article states that the documentary will feature discussion about his parents' divorce. The article also has a teaser sentence that says, "Viewers can hear the prince count up who he sees as his immediate family".
And here is an article that talks about what Nikolai says in the video:
http://msndk.starlounge.com/index.cfm?objectid=61591
He says that he has four different parents. He also says that his immediate family consists of his mother, father, stepfather, stepmother, Felix, his uncle, and his "second uncle". Nikolai says that when he grows up, he wants to be a farmer, race car driver, or businessman.
The documentary is fantastic! Prince Nikolai is a great musician, and has his own band. He plays bass. Martin is a very warm and caring stepfather, and it is very nice to see Joachim and Alexandra's relationship. They seem to be very good friends, and they are both wonderful with the children. Thank you for the link, Mitchell!