Why does alcohol "burn" while drinking it?

It pulls water from the cells lining the skin, causing them to dry out somewhat, and they signal that stress as a burning sensation. It makes you feel warm because, when inside the body, acting as a drug, it dilates (makes expand) blood vessels, allowing more blood to flow to your skin, hands and feet, making them feel warm. In so doing, though, you lose more heat, so you do not want to give alcohol to someone who is at risk of hypothermia. But if someone is merely cold, but is now dry and in a warm place, a shot of spirits to make them feel warm and comfortable will do no harm.