A simple answer:
Our muscle cells have to break down the glucose to get energy to do something. But during heavy exercise, we need more oxygen but only a limited supply can go in. So, in this case, the cells starts respiring anaerobically(without oxygen). And in that process, the muscle cells produce Lactic acid as an end product. The acid could cause irritation and pain in the muscles. (See, in the presence of Oxygen, the lactic acid is completely broken down, but with CO2 it cannot)
To get relief, we can have a hot bath(sauna) or a good massage. This improves circulation and so O2 is being transported better so the lactic acid is completely broken down.