Houdini strips down to his under shorts (he did this a lot -- even for card tricks) and climbs into a gigantic milk can that is filled with water (it is not filled with milk because, as is explained in the trick's name, milk can escape.) After Houdini is complete submerged, the top of the can is replaced and either padlocked, welded shut, or sat upon by an elephant.
A curtain is raised around the can and, moments later, Houdini emerges -- triumphant, panting, and damp.
Hidden in Houdini's under shorts is a can opener. It's as simple as that.