I do this in conjunction with a mask. I think you're supposed to put the mask on first? I'm not sure b/c I haven't done it in forever..good reminder...maybe someone else knows. It is more effective I think to do both at the same time-so have your own little spa day.
It basically just opens up the pores, this way you can treat them better, like treating acne and gettin rid of plugged pores. Cold water closes them, which you should do so you don't get em dirty. I just let water boil in a pot over the stove, wrap a towel around my head, and lean down to the steam (not to close though). But I know you can buy machines that do it if that would be better for you. Don't do it more than once a week.