I'm assuming this is on a single ticket.

She will check in with United at DSM, they will tag her bag to CPH. She will not need to claim her bags at ORD. She needs to get from T2 (or T1, they change it sometimes, but it doesn't matter) to T5 via the ATS (the inter-terminal train, same way you got from T5 to T2). She can just follow the signs for T5, short version is to get to the ticketing level and look for the escalators going up over the departure roadway to the train.

Note that this transfer is landside (ie she will have to exit security and reclear in T5).