While running NiceHash Miner (or any other official open-source miner), your PC hardware (CPU or/and GPU) is solving different mathematical equations and sending the results to NiceHash. These results are then used to create new cryptocurrencies (such as Ethereum, Zcash, or Monero), or for allowing transactions between them. For each such result, you get paid in Bitcoin (BTC).
By using NiceHash Miner you are participating in an open marketplace for hashrate. There are many people on the market who buy hashrate that you and other miners provide to the network. Please be aware that you are not paid out directly by NiceHash, as other buyers are paying for hashrate that you provide. NiceHash provides an open marketplace and only enables you to rent out the idle computing power of your machine. That is why miners are also called sellers because miners sell the hashrate to other people - buyers. NiceHash does not have any control over the prices and profitability of mining - everything is set by the open marketplace and the people who participate in it. To learn more, read this article.
When renting out your PC you only rent out the computing performance of your CPU or/and GPU. There is absolutely no other data accessed on your PC!