Burning is pretty common when you're starting out with retinol, especially in the first or second week. Your skin is adapting to a pretty strong active ingredient, so it's normal to feel tingling, redness, or that burning sensation you're describing. Retinol speeds up cell turnover and that can temporarily irritate your skin barrier. That said, there's a difference between mild irritation and actually getting burned - if it's unbearable or you're getting blisters or severe peeling, you probably did overdo the concentration.
What you can do is dial back the frequency for now. If you're using retinol every day, try dropping it to three times a week for a month and then gradually increase it. Also, check the concentration of your product - if it's a high-potency pure retinol (1% or higher), that's pretty strong to start with. Another thing that helps: apply the retinol to completely dry skin, wait a few minutes after washing, and then use your moisturizer. Hydration is your best friend here because it cuts down irritation a lot. And during the day don't forget sunscreen - with retinol it's a must because your skin is more sensitive to UV radiation.
If after two or three weeks of using it less frequently it's still burning the same, then maybe the concentration is too high for your skin right now. In that case it'd be worth considering starting with something gentler, like a low-concentration retinol or a retinol ester which is a bit more gentle.