Spicy foods contain a substance from chillies called capsaicin. Capsaicin stings taste buds, and milk binds with the hot capsaicin oils to disperse them. Cold water is not effective to mitigate spiciness because water-based liquids spread capsaicin and likely increase the burning sensation.
Alcohol is not a practical option to decrease capsaicin's unpleasant effects due to there not being enough alcohol content in one drink to make a difference. Several ounces of liquor would be required to notice a difference. There are various other uses for capsaicin. Capsaicin is the primary active ingredient in pepper spray for self defense. Capsaicin is also used as an analgesic in nasal sprays, topical ointments and dermal patches.