Capsacian hits some of the nerve receptors in the mouth (and in other places too, actually) and tends to stick there pretty fiercely. This has the effect of a sharp burning sensation at first, followed by a kind of numbness afterwards. This has actually led to a lot of research using capsacian and similar compounds as anti-inflammatory agents. The idea is that you would take a medication that would bind to your pain receptor (the same way capsacian does) and then, since it binds so tightly, other irritant molecules can't get into the receptor and cause further irritation. I think it's a really cool approach to pharmaceuticals!!
Anyway, I had heard that capsacian is not soluble in water or alcohol, so those beverages are right out. As said above, milk contains a fair amount of lipids, in which capsacian is soluble. So when you drink milk, the capsacian gets sucked out of the pain receptors in your mouth and then gets washed away. Water and alcohol can't do this because the capsacian isn't soluble, so it just stays on the receptor. Alcoholic beverages are also predominantly water, so the alcohol can't have as much of an effect.
I hope this info is useful.