thats because the milk kind of absorbs the spice. something that is even better than milk is yoghurt. removes every damn trace of the spice almost immediately. I should know, i've tried it myself.
The fats and sugars in milk help to contain/alleviate the spiciness, while water just spreads around the oil even more and makes it worse.
I also like using yogurt because you can kind of just hold it in your mouth to lessen the burn and it's really soothing. And yogurt is just awesome in general.
Actually it more or less has to do with the fact that water is polar. Since spicey foods usually have a non-polar stance, they mix very well. Like Water and oil (in fact spicy foods are usually oily aren't they?). Milk, being non-polar can mix well with the spicy food and remove it, Yogurt works because, well I'm sure you know it's a by product of dairy, it's thicker.
Oh this is hilarious. I saw the one without words first and thought she found "the one" but her wedding got ruined. All she did was eat something that was too spicy for her. XD
