The Hayward HeatPro takes the heat from the surrounding air and uses it to heat the water in your pool.

During
heat pump operation, liquid freon from inside the unit is pumped
through the system (A) and is turned into a heated gas. This happens
when heat is taken from the surrounding air (B) as it is drawn through
the evaporator by the fan. The compressor (C) receives this warmer gas
and compresses it to a higher pressure, resulting in the freon reaching
even higher temperatures. As the unit sends the heated gas through the
heat exchanger, the gas gives up its heat to the surrounding water (D).
The freon is then reverted to its liquid state which completes the
cycle (A).

The water (F), which is being forced through the heat exchanger (D) by
your pool pump, is heated by three to five degrees as it passes through
the heat exchanger. The water, now warmer, then flows back into your
pool (G).