I had this with my pregnancy. The doctor told me that it was round ligament pain. Then the burning feeling are actually small contractions. The further you get in your pregnancy the stronger the contractions will be (they will start actaully feeling like contractions.)
Nothing to really worry about - the doctor just told me that when I feel that feeling to sit for a little bit or lay down if it was a stronger contraction. Drink plenty of fluids (This actually helps!). I wouldnt worry about though. I was scared to death until I found out how common it was. Just listen to your body -- I normally got this feeling when I was stretching myself a little to thin.
Good luck! I cant wait for my second pregnancy, even with a the little problems I had I enjoyed every minute!