It's a irritant, so it takes your mind off what's bugging you and refocuses it on where you've applied the liniment. The menthol based ones also might help bring more blood to the area.
With stuff like this, the Blue Heat, Pink Heat, Equiblock, Equitite, and the stuff made for human skin, like Ben Gay Maximum Strength, Icy Hot, Capsicum HP etc...it's all about being a counter-irritant.
I find these kinds of things useful for warming up, but not really useful to manage pain.
The stuff I like the best was "Equitite", a perfect blend for warming up and keeping things feeling hot. The Blue and Pink Heat work ok too.
Be very careful with any capsicum based products, because they'll heat up dramatically when you start sweating. I can use damn near anything on my knees, and even under knee sleeves, to help keep things warm, but once I put Capsicum HP on my shoulders, and about 15 minutes into the workout I had to stop because the stuff was burning so badly. And, even a hot shower made it worse, so I had to take a cold shower and wash and rinse multiple times before I could relieve the burning.
It was bad. Pray you never get stuff like that in the "danger zone" which includes your butthole. A buddy of mine applied the stuff, washed his hands, and took a crap. Because of the cheap toilet paper at the gym, his fingers went through the paper.
He cried about it for a few hours.