The active ingredient in so-called "hot pepper" creams is capsaicin - which indeed comes from hot pepper plants. It is marketed under such brand names as Zostrix and Capzasin-P. It can help people with arthritis-related joint pain in several ways.
Initially, it causes a warm tingling or burning sensation - which distracts you from the underlying pain. Some find this uncomfortable, but some find this lessens their pain. After a few weeks of use, the burning sensation is often less of an issue and deeper pain-relieving benefits grow. Capsaicin appears to reduce a chemical - substance P - that sends pain signals to the brain. It often takes a week or two, therefore, to get maximal benefit.
Here's how to use it:
First, try the mid-strength, which is 0.075% capsaicin.