When particles are heated, they absorb energy, which in turn causes them to start moving around more. All atoms and molecules move constantly. Solids move the least, with particles mostly just vibrating, and gas particles move the most, typically freely bounding around in open space.
If enough heat is added to the particles, the substance as a whole can have a change of state. If particles gain enough energy to start slipping over each other and moving around, solids can melt into liquids. Similarly, with enough energy to start jumping and bounding around, liquids can start to evaporate as particles turn from liquid to gas.