"Burning in" is the term given to the process of pushing high voltages through your cpu for a considerable amount of time. To do this safely, you would decrease the fsb and increase the voltage to a very high level. The reason you decrase fsb is to maintain safe temperature for you cpu. After this is done, you load your cpu constantly for a few hours/days.
Burning in is suppose to increase your overclocking potential of your cpu. For example, a lot of people claim that after burning in, they can overclock higher with a lower voltage etc.
I'm not certain as to why it works or doesnt work. There are people on both side's on the fence and some who are sitting on it (like me).