If your car is so equipped there will be 2 lines which leave and return to the oil filter adapter upper body by way of a cooler in the passenger side tank of the radiator. They snap into spring loaded quick-connect fittings which are supposed to be replaced if the lines are removed for any reason (O-rings, probably).
So, your oil cooler is water to oil, and is designed to rapidly heat the oil to proper temperature (200 degrees, + or -) and keep it there. Why maintain the oil at temperature? In order to assure correct flow characteristics and to vaporize any moisture or acids for removal from the crankcase/valve cover airspace by the PCV system. Cold (<180 degrees) oil or an unventilated engine rapidly turns the oil and engine internals into a black, gooey mess. Witness the older engines from the early 60's back which had only a road draft tube stuck in the valve cover. I have overhauled old flathead Fords and early Chevy V8's that were so full of sludge that the moving parts had actually created their own channels through the goop.