I know quite a bit about that. The main purpose of a "burn-in" is to stress-test the system as a whole--make sure there's no flakey hardware, unstable drivers, etc.
The burn-in is usually done by having some sort of software running on your system for an extended time period (say 24 hours), hammering different components with a series of performance/stability tests. SiSoft Sandra has a burn-in test suite that does quite well IMHO.
"/join #hackerz. See the Web. DoS interesting people."
I think you should try some of these utilities to make sure nothing locks up and it's stable.
<A HREF="http://setiathome.ssl.berkeley.edu/download.html" target="_new">SETI@Home</A> - run for a couple of hours in the background, full tilt, while doing whatever you do with your computer. Maybe surf the internet, type, stuff like that.