This is a red, fiery spicy powder made from grinding dried red chillies (it's also known as Lal mirch).
We're pretty familair with chillies over here in the UK. What we're not so hot on (sorry) is the sheer number of different grades of heat and intensity. From the Kashmiri chilli powder made from the large mild chilli that grows in the Kashmir region right through to a Bird's Eye chilli powder made from small finger chillies which are much more challenging!
Capsaicin is the natural oil in chillies which gives them them their power, and different varieties contain different levels of capsaicin (even different chillies on the same plant can contain different levels of it). Capsaicin is also an effective analgesic and is used in some natural medical circles for pain management. And red chillies contain high levels of vitamin C and this helps the body absorb iron from other food sources.
For the record, my personal favourite is Kashmiri chilli powder because it has a crazily bright red colour and a gentle, warming heat. The whole dried chilli can also be used for creating wonderful spice pastes too. When working with these dried chillies, they should be treated as a whole spice and tempered in oil or rehydrated in hot water, then ground to make a paste.