The Nordic Countries are those in the north of Europe. Those include Scandinavia, a region specifically comprising Denmark, Norway and Sweden, but the term "Nordic" is broader and also includes Finland and Iceland.
Helsinki or Helsingfors is the capital of Finland. Founded in 1550, the "Daughter of the Baltic" has been the Finnish capital since 1812, when it was rebuilt by the tsars of Russia along the lines of a miniature St.
Denmark is a country in Scandinavia. The main part of it is Jutland, a peninsula north of Germany, but also with a number of islands, including the two major ones, Zealand and Funen in the Baltic Sea between Jutland and Sweden.