But why does this happen? Here's the science-y bit:
Put simply, light travels from the sun and through the earth's atmosphere (that's all the air above us) in invisible waves. Light that looks white to us is actually made up of many different colours of differing wavelengths (that's the length that the light has travelled). For example, blue has a short wavelength, while red has a longer wavelength.
At sunset (and also at sunrise), the sun is very low in the sky, which means that the sunlight has travelled further. Any blue light therefore doesn't reach us very well, but orange and red lights do.
And there is a very old, well-known weather saying "Red sky at night, shepherd's delight. Red sky in the morning, shepherd's warning." A colourful saying, but is it true? Actually, here in the United Kingdom, it generally is.