(Volumic) mass density is the mass of one cubic meter.
For instance 1 m3 liquid water has a mass of 997 kg, 1 m3 ice 920 kg, that's why ice floats on water.
Heat capacity is the amount of heat energy (measured in Joule) which must be given to one kilogram of water to raise its temperature by 1oC.
Water needs about three times more heat than liquid sodium.
Sodium: a tender metal