The kind you had when you were little was probably different, but it still doesn't hurt. They stick a needle just under the skin of your inner arm (Between your elbow and wrist) and it makes a small "bubble." It usually goes away in about two days.
With that being said, I cannot watch this being done. Seeing the bubble grosses me out completely. It makes my skin look like it's boiling or something. So don't watch if that might bother you.
It seriously is pain free though, and that's from a needle wimp!!