they are right. København (Copenhagen) is on islands in Northern Denmark, Malmö is southern Sweden, and there is the Øresund Bridge which was built quite recently to link them. Swedes go over to Denmark to drink on a night out. It is about half an hour by train and some people consider København-Malmö a conurbation (with a strait in the middle!)

Stockholm is a lot further north, and on the other side of the country, maybe 600km away. But travel is very quick and easy between the two areas. The drive is easy but very long (a full day) and beautiful. You can drive all down the east coast then cut across the south, or go inland. Either way, you will want to stop at every lake! And there is a direct rail link, I think about 4 hours or so on the fast train.

There is also an airport at Malmö but it would need a connecting flight, and is probably not worth it
but seriously, you should go across the bridge (road and railway combined) from København, it is stunning!

(but avoid if you are claustrophobic, it dives from a bridge into a long tunnel to allow through ships and ice floes, and for aeroplanes to land safety at København...)