Burst Mode, also called sequential shooting or continuous mode, lets you take several shots in close succession. It does this by storing the successive shoots in your camera memory prior to writing, to the storage media/card. This allows the camera to significantly reduce the time between frames, compared with normal single shoot mode. Most cameras use will lock focus, exposure and white balance etc. at the first frame. Some cameras also have an autofocus setting in burst mode where focus is locked for each frame automatically.
Generally in this mode you will start as in any photo by half depressing the shutter to get focused and the light meter settings. Then after you fully depress the shutter button, your camera will keep taking pictures until you release the shutter button. The frame rate and maximum number of photos will depend on your camera and amount of memory available. Some cameras let you adjust the frame rate, but if you have it in autofocus on, each frame will probably have a minimum limit of 1.5 to 2 seconds between frames.
This mode is a favorite with sports photographers and other actions situations, like catching rain drops. Try it out when taking candid shot of people, especially kids, and see all the subtle changes in expression. The beauty of digital photography is even though you will end up with many photos using bust mode you can the just pick the best and they will be better.