All higher animals have mechanisms for maintaining their body temperature, a process known as "thermoregulation." Temperature control is critical to survival. An animal that can't cool itself will overheat and suffer from heat stroke, a potentially fatal condition. The reverse is true as well; an animal that can't keep itself warm can freeze to death. As a human being, the cleverest of all species, your body has several means of cooling itself not available to the rest of the animal kingdom.
Sweating may feel hot and sticky, but it is actually your body's main biological mechanism for cooling itself. As perspiration evaporates from your skin it absorbs a large amount of heat from your body in the process of turning from a liquid to a gas. You become sweaty on a hot day or when you exercise for the same reason: you've accumulated excess heat that you need to get rid of. Your body contains several million sweat glands that automatically regulate when and how much you sweat. The more your body needs to cool down, the more profusely you'll sweat. Humid air makes it more difficult for your sweat to evaporate, which is why you feel uncomfortably hot on muggy days.
Your body also loses heat through the same physical mechanisms whereby any hot object dispels heat. You radiate body heat into a cooler environment in much the same way a hot oven radiates heat into the kitchen; your body can increase radiation heat loss by increasing blood flow to the skin. Moving air or water carries away body heat through a process called "convection." You also lose some heat through "conduction." For example, if you lean against a cool wall, your body transfers some of its own heat to the wall.
Animals can cool themselves by moving to a cooler spot in their environment. For example, a fish in overly hot water will follow a temperature gradient to cooler water. Humans also use this strategy, but we generally have more options available than other animals. We can put up a sun umbrella, jump into a swimming pool or find a cool movie theater in order to keep our body temperature under control.
As a member of the human race, you also have technological options for keeping cool that are not available to other species. You're the only animal with the option of rapidly removing layers of insulation -- your clothing -- to increase the flow of heat away from your body. You can also turn on a fan or an air conditioner to cool down, or even crank open the car window to create a cooling wind.