The weather is cold and physical.

A, in the cold winter, rub your hands to keep warm, overcome friction and do work, and convert mechanical energy into internal energy, that is, change the internal energy of an object by doing work;

B, repeatedly bending the iron wire, so that the bent part becomes hot, mechanical energy is converted into internal energy, and the internal energy of the object is changed by doing work;

C, heating the milk with hot water, so that the milk absorbs heat and changes the internal energy of the object through heat transfer;

D, when the return capsule passes through the atmosphere, it needs to overcome friction to do work and convert mechanical energy into internal energy, that is, to change the internal energy of the object by doing work;

Therefore, C and ABD change the internal energy of an object in different ways, and C meets the meaning of the question.

So choose C.