Pushing the Density button on the Component Properties - Temperature Dependent Properties Window brings up the Component Properties - Phase Window, where you select the phase for which you want to enter liquid or solid Density data.
Then you must define the type of data you want to enter - tabular or coefficient - in the Component Properties - Data Source Selection Window.
Finally, enter tabular data in the Component Properties - Tabular Data Window or coefficients of an equation in the Component Properties - Correlation Selection Window.