If you place a hot object next to a cold object then the heat will flow from the hot to the cold object - this is basic thermodynamics. Heat pumps take advantage of this fact by taking the heat energy from the air that surrounds us. Roughly speaking, this is how heat pumps work.
Heat pumps take advantage of the atmospheric heat to provide either hot air (heating) or cold air (air conditioning) to our homes. This is why it is sometimes referred to as using a free heat source. If heating is needed, heat is taken from outside and deposited inside the building - if air cooling is the thing, then heat is removed from within and released outside.
So how does a heat pump system take heat from the already cold outside air in winter? It is filled with a refrigerant, like Freon, that is cooler than the surrounding air - as it passes through the cold winter air it still manages to take heat from this air! However it is true that in some areas, where it gets very cold in winter, a heat pump is not able to work efficiently enough to make it worthwhile.
After the refrigerant has made the trip outside (for heating) and picked up some free heat from the environment, a compressor turns it into hot vapor before it passes into the home where it is blown or passed through a radiator system. Heatpump systems can be a very efficient way of heating a home.