This injection is given into the space between the bony outer walls of the spinal canal and the membrane which covers the spinal cord, and in addition to containing an anaesthetic the injection usually contains a steriod. The anaesthetic numbs the spinal cord and the steroid helps to reduce the amount of local inflammation which has been caused by the prolapsed disc.

The pain relief produced by an epidural injection may be temporary or permanent, and about half of all patients get at least some relief. The procedure is fairly uncomfortable but the relief can be tremendous.

Further information can be found at:

Epidural Cortisone Injections for Sciatica From Herniated Disc...Beneficial?
Lumbar Epidural Steroid Injections for Low Back Pain and Sciatica