The correct answer is: C. Highly volatile.
Spirits are highly volatile, meaning they evaporate quickly. When spirit comes into contact with the skin, it evaporates quickly, taking heat away from the skin with it. This gives a cooling sensation.
A liquid is not necessarily cool. For example, water can be hot or cold. Transparent is not necessarily cool either. For example, glass can be hot or cold. A good conductor is not necessarily cool either. For example, metal can be hot or cold.
However, a highly volatile substance will evaporate quickly, taking heat away from the surface it comes into contact with. This is why spirits give a cooling sensation when they come into contact with the skin.