There is no way within MIKE URBAN, but:
[b](1)[/b] Create your project in MIKE URBAN without defining a coordinate system. Close the project.
[b](2)[/b] Start ArcCatalog, find the MIKE URBAN-Database, open the tree (with the + sign) and find the feature-dataset "mu_Geometry".
[b](3)[/b] Right-click and open the properties. The second tab shows the coordinate system. Here you can select or import a coordinate system.
No 100% guarantee, but I think this should do the trick.