A refrigerator doesn't actually make cold; it moves heat from inside the insulated box to the room outside. It does this by taking advantage of a simple physical fact: when a liquid evaporates it absorbs heat from its surroundings, and when a vapor condenses back into a liquid it releases that heat again. By forcing a working fluid, called a refrigerant, to evaporate inside the cabinet and condense outside it, the appliance acts as a heat pump, continuously ferrying warmth out of the food compartment and dumping it into your kitchen.
The cycle has four main stages and runs in a closed loop of tubing. It begins at the compressor, the humming pump usually tucked at the back or bottom of the unit. The compressor takes in low-pressure refrigerant vapor and squeezes it, which raises both its pressure and its temperature well above room temperature. This hot, high-pressure gas then travels through the condenser, the coil of black tubing on the rear or underside of the fridge, sometimes helped along by a small fan. Because the gas is now hotter than the surrounding air, heat flows naturally out of it into the room, and as the refrigerant sheds that heat it condenses into a warm liquid, still under high pressure.
Next the liquid is forced through a narrow restriction, either a long thin capillary tube or an expansion valve. On the far side of this bottleneck the pressure drops dramatically, and because a liquid's boiling point falls with pressure, the refrigerant suddenly finds itself far too warm for its new low-pressure surroundings and begins to flash into vapor. This expansion chills it to a temperature below that of the refrigerator's interior. The cold mixture of liquid and vapor now passes through the evaporator coils, which sit inside the cabinet or in a channel behind the rear wall of the freezer. Here the process reverses: heat from the food, the air, and anything else in the compartment flows into the much colder refrigerant, boiling the rest of it into gas. That absorbed heat is what makes the inside cold. The now low-pressure vapor returns to the compressor, and the whole loop starts again.
Several supporting parts make the system practical. Thick foam insulation and magnetic door gaskets slow the leakage of heat back in, so the compressor doesn't have to run constantly. A thermostat or electronic sensor measures the interior temperature and switches the compressor on and off, or varies its speed in newer inverter models, to hold a steady few degrees above freezing in the fresh food section and well below freezing in the freezer. In most modern units a single evaporator serves both compartments, and a fan blows air over it, with a damper controlling how much of that chilled air is diverted to the refrigerator side. Because moisture from the air and from food freezes onto the evaporator, frost-free models include a heater and timer that periodically melt that ice, sending the meltwater down a tube to a shallow pan near the compressor where the waste heat evaporates it away.
The refrigerant itself is chosen for boiling at convenient temperatures and pressures; older machines used chlorofluorocarbons, which damaged the ozone layer, and today's use substances such as isobutane or tetrafluoroethane and their newer, less climate-harming replacements. It is worth noting that a refrigerator is a net heat source for the room it stands in, since it expels not only the heat drawn from the food but also the energy consumed by the motor, which is why you cannot cool a closed kitchen by leaving the door open.