AKA a Microwave Heat Pack. The ones I have are shaped like small fur piece with handles on each end. The inside is packed with something that feels like buckwheat. It's called moist heat, so whatever is in there must get damp when you heat the thing up.
The trick with these little devils is finding the correct time to heat it up. Just a tad too little, and they aren't hot enough to do any good. Just a tad too much, and they'll blister you. The right time is somewhere around 90 seconds, but YMMV.
Remember: For sore muscles, heat actually can do more harm than good. Start with ice for therapy and use heat for pain relief afterwards.