This is an example of psychological conditioning. When a stimulus (a flash of light) is paired with a consequence (an electric shock), the subject has a particular behaviour (pulling the finger away). After enough repetition, the subject will learn to associate the two, and the stimulus will be enough to motivate the behaviour, even when no consequence is present.
After several trials without the consequence, the subject will again dissociate the stimulus from the behaviour, and will go back to his pre-study pattern, in a process called extinction.