It works by taking an extremely cold liquid and pouring it in a pot that is connected to the heatsink which is connected to the processor. This then cools the processor for extreme overclocking tests. It is NOT a permanent solution as the nitrogen evaporates. It also requires some very serious moisture isolation as the liquid nitrogen will cause condensation on anything not isolated.
The risks are all your components could smoke. you could have a massive burn or in the very worse case issues you could loose a finger. Frost bite and massive burns happen very quick with a liquid (Liquid nitrogen freezes at 63 K (−210 °C; −346 °F)).