You've only got part of it. The story is that you put DMSO or ground up aspirin on the knee, spray it with WD-40 and then rub it in.
DMSO is a long time product used for such things. Heres what an MD web site says:
DMSO has been used as an industrial solvent since the mid-1800s. From about the mid-20th century, researchers have explored its use as an anti-inflammatory agent.
The FDA has approved DMSO as a prescription medication for treating symptoms of painful bladder syndrome. It's also used under medical supervision to treat several other conditions, including shingles.
DMSO is easily absorbed by the skin. It's sometimes used to increase the body's absorption of other medications.