YES! I have solved the problem!
By
1. deleting everything in D:\Documents and Settings\All Users\Application Data\Microsoft\eHome\EPG
2. Setting up TV channels (new search for channels) and order under settings in MCE (again)
3. Editing the file prefs.xml in D:\Documents and Settings\All Users\Application Data\Microsoft\eHome\EPG\prefs
3a. virtualchannelnumber sholud be 1 for DR1 and 2 for TV 2 and this has do be corrected two places in the file.
4. Ran Dumper.exe in D:\WINDOWS\ehome.
5. Edited the output file DerivedChannelInfo.xml so ChannelID matched the ID in the XMLTV file, eg. 003.tv.tv2.dk for DR1.
6. Renamed DerivedChannelInfo.xml to ChannelInfo.xml
Now I have beautiful EPG in MCE. Hope this helps somebody else!