well, there are two ways of keeping warm. One is to keep the blood flow going and the other is to keep moisture away from the skin.
From what I've read on the ingredients list, embrocation uses Capsaicin oil, which is the same stuff in hot peppers and pepper spray.
Now, this doesn't warm you directly, but apparently it reduces the sensation of pain and fatigue. What I'm not sure of, is if it acts as an irritant and opens the blood vessels where they would otherwise contract in the cold.