It only works if your load is drawing only a very very small current. I am not sure you already know ohm's law or not, and I am not sure if you know how to evaluate resistors running in series or parallel. I am just going to assume you known neither and bring up the important points.
Ohm's Law: V = I * R, that is voltage=current*resistance. Mathematical equivalence for V=IR are I=V/R and R=V/I
Resistors:
In Series, the result is their simply addition:
Rresult = R1+R2 when R1 and R2 are in series.
In Parallel, the result is a bit complex, it is the inverse of the sum of the two inverses:
1/Rresult = 1/R1 + 1/R2. Mathematical equivalence is Rresult = 1/((1/R1) + (1/R2))
With that in mind, now look at the circuit. Let's removing C2 and C3 from the circuit for now leaving just the power supply plus R1 and R2.
R1 and R2 in series acts as a voltage divider. Current flowing into and out of R1 has only one place to go: into and out of R2. So using Ohm's law, V=I*R, both I and R are the same value upper half or lower half. Current are the same, R1 and R2 are equal so the V1 and V2 must also be equal: voltage is divided equally, so 12V upper half and 12V lower half.
Now imagine, across upper resistor R1 side (the presumed +12V half). You give it a load of a third resistor R3, let's say R3 is the same value as R1 and R2 so math is simple. The result of putting R3 paralleling R1 results in the different resistance. Let's call that R13. You can evaluate R13 using the inverse of the sum of the inverses:
Result R13= 1/((1/R1) + (1/R3)) = 1/(1/500K + 1/500K) = 250K.
Now your voltage divider is out of balance. It is no longer equally dividing between a pair of 500K resistors (ie: R1 and R2) in series, but instead the you have R13 and R2 in series. That is, you have 250K and 500K in series. The upper part (+12V part) has only 250K, 1/2 that of of the bottom part of 500K. With V=I*R, and R in R13 being half of R2 means it's voltage V1 is also half of V2. End result would be 8V on the upper half, and 16V on the lower half from that 24V total.
Now if you repeat the math with R1 and R2 each being 5 Ohm, but with the load R3 being 500K Ohm, you will see the voltage change to be a lot smaller, R13 = 1/(1/5 + 1/500000) = 4.99995. Dividing the voltage between 4.99995 Ohms upper and 5.0000 Ohms lower. The actual voltage would be 11.99994V upper and 12.00006V lower (see EDIT below), you need a really really good DMM to discern that difference.
A simple divider works -- as long as the current diverted to the load is small. When the load varies, the voltage divider's division also varies along with it. The more current going through the divider, the better it work, but of course less efficient as less of the total current are actually used for your load. So you can used the voltage divider method with in mind about the load.
The capacitor C1 and C2 are for stability (slowing the the change when current drawn is changing). It doesn't change the divider characteristics from division stand point. It may however introduce oscillation in the circuit. That is too complex to discuss in detail for the time being.
EDIT (adding this just to be complete for the "if you repeat the math" paragraph):
Vupper = 24 * Rupper/ (Rupper+ Rlower)
= 24 * 4.99995/(4.99995+5) = 11.99994
Vlower = 24 * Rlower/ (Rupper+ Rlower)
= 24 *5/(4.99995+5) = 12.00006