Air source heat pumps work by taking heat from the air outside and moving it into the home. This seems like a strange concept to a lot of people, however think about your fridge, this works on the exact same principal. If you have ever turned a fridge on fresh out of the shop you will may have noticed how the back of the fridge gets warm very quickly, this warmth is heat that has been extracted from inside the fridge and compressed to make it hotter, making the inside of the fridge colder.
Air source heat pumps are exactly the same, except the inside of your fridge is now the outside world being cooled down (it will be blowing cold air out of the outdoor unit) and now the back of the fridge is now a neat compact unit. In the case of an air to air heat pump this will be inside the house with a fan blowing warm air into the room. In the case of an air to water heat pump this is built into the outdoor unit (traditionally, there are some exceptions) as a heat exchanger, transfering heat into water as it is pumped around the system.
The heat is transfered through refrigerant gas. This is the same sort of gas that is found in fridges and car air conditioning systems. Like a fridge and unlike a car's air conditioning system, this will never need to be 'topped up' if it has been installed properly. All air source heat pumps are controlled by a thermostat, so you can set the temperature on the unit and not have to worrry about turning it on and off when the room is up to the right temperature.