Does that mean 'space' doesn't get warmed by the heat/photons because it's a void and therefore there is nothing to warm? And space seems black because there is nothing in the void to reflect the light/photons?
Yes.
Then why does something in space, say liquid water, freeze once exposed to space? What is conducting the heat out of the water? Where does the heat go?
When you expose liquid water to space two things happen. It starts evaporating like crazy and it radiates heat (photons at wavelengths we don't see with our eyes).
All objects in all environments radiate heat, and things that are hot enough radiate a noticable amount in the narrow frequency range that our eyes see ... "red hot" and "white hot" come to mind. Hotter objects radiate more energy. All objects in all environment also receive radiant heat (photons) from the environment. The net effect depends on which way the most energy is moving.
On Earth heat is also carried by conduction (heat moving through solids) and convection (liquids or plastic solids moving and carrying heat along with it). This doesn't happen in space (but see below).
So the heat transfer equation for our water in space is:
total heat loss = radiation loss - radiation gain - 0 (conduction) - 0 (convection).
Since radiation loss is much bigger than radiation gain, the total heat loss is big. Between the evaporation and the radiation, you quickly get small pieces of ice. Which continue to evaporate and radiate, but the evaporation is slower and the effects of the radiation aren't as noticable (and the amount of radiation is smaller 'cause it's colder).
There's another interesting effect that speeds the process up. Evaporation is just molecules flying out of a solid because they happened to have enough kinetic energy to escape and are at or near the surface. Temperature is the measure of the average kinetic energy of the atoms ... therefore the ones that escape are hotter than the ones which remain, on the average. So, the evaporation produces significant cooling (as evaporation does on Earth) which could be called convection.