How do they cool things in space?

Any fluid can be used. Ammonia is poisonous so is an unlikely candidate. Collect heat from the side facing the sun, then use some energy to transport this heat to the cold side away from the sun. At the same time compress the fluid so it becomes hotter than the hot side, so it will radiate faster into space, then move the resulting cooled air to the hot sun side to gather more heat. It works the same way as an air conditioning unit, except that it uses radiation instead of conduction

So you can only dump heat by radiation.

Thus the system has to be connected to an appropriate radiator at some point.

The big panels on the ISS that aren't solar arrays are radiators.

The ISS uses an ammonia based cooling system. Radiators on the dark side dump excess heat.