Cyclomethicone is not one type of silicone, but a whole mixture of them: it's a mix of specific chain length (4 to 7) cyclic siloxanes. (There seems to be a confusion on the internet whether Cyclomethicone and Cyclopentasiloxane is the same. Well, it is not, but Cyclopentasiloxane is part of the mixture that makes up Cyclomethicone).
All the silicones in the Cyclomethicone mixture are volatile, meaning they evaporate from the skin or hair rather than absorb into it. Like silicones in general, Cyclomethicone also gives skin or hair a smooth feel and has emollient properties.