Most fireplaces heat rooms via radiant heat rather than through the forced-air method of heating that most household furnace systems employ. Radiant heat works by raising the internal temperatures of cold objects instead of just blowing hot air by them. This is a more efficient method of warming a room.
Not all fireplaces rely on radiant heat alone. Some modern designs also incorporate a fan system to try and distribute warm air into the room in which the fireplace is located. Some modern designs incorporate a duct system with an intake. This allows air to be passed through channels near the fire, warmed and then put back out into the room. These types of fireplaces work quickly but don't retain much heat once turned off.
If you want to get heat from your fireplace, it is important to pay attention to when the fire goes out. While the fire is actually burning, much of the heat is actually traveling up the chimney. Once the fire goes out, though, you don't need that pathway for smoke and fumes to escape; you need to close the damper on the fireplace. This prevents the residual heat from escaping and slightly increases the heat efficiency of the fireplace.
Ultimately, a fireplace is a poor heating device and is much more useful as a design consideration than as a practical heat source. Too much heat escapes out the chimney for a fireplace to be an efficient heat source. However, some alternatives to fireplaces such as masonry heaters and wood stoves provide you with the enjoyment of a fire and a more effective heating method.