Progesterone increase your body temperature after ovulation (as the corpus luteum starts to break down assuming you're not pregnant). Its not just after ovulation, progesterone always increases your body temperature. For example, women who take a progesterone only contraceptive have a raised body temperature compared to women who take a progesterone and oestrogen based contraceptive.
The exact mechanism through which progesterone does this is unclear - although one study suggests it affects the activity of temperature sensitive neurons in the brain. It does affect the action of a lot of different hormones which probably influence body temperature, for example it acts with another hormone to reduce fluid volume in the body though which might lead to a higher temperature.
As progesterone maintains menstrual cycle that is due to thickening of uterus lining as well as it is richly supplied with blood vessels...the blood is responsible for increase in temperature