"The blood of the covenant is thicker than the water of the womb."
The saying (basically) means "the bond with the friends you make is stronger than happenstance family".
Remember, don't be bullied by family members who use "family" as their excuse to get you to do what they want without consideration of your own thoughts or feelings.
Two modern commentators, author Albert Jack and Messianic Rabbi Richard Pustelniak, claim that the original meaning of the expression was that the ties between people who have made a blood covenant (or have shed blood together in battle) were stronger than ties formed by "the water of the womb", thus "The blood of the covenant is thicker than the water of the womb". Neither of the authors cite any sources to support their claim.