I would suggest for you to see your doc or chiropractor..I have heard that pain above you knee is muscel if it goes below its nerve,but you dont want to mess around..does it hit and miss or continous?
It might be a blood clot. Have you had any recent injury, surgery, or plane flight? Does it feel warmer to the touch (in case blood clot, you won't want to massage the area) than the area surrounding it? Is it red? Is it also painful?
Was there anything that seemed to bring it on, like exercise? Often times, if you had peripheral neuropathy, the thing you would notice burning is your foot. If a blood vessel gets blocked off by plaque that's built up in it, that can cause ischemic pain. If you've been putting any prolonged pressure on the leg, that might cause a burning sensation as well.
Just about anything lol. Did you injure it or did the burning just start? It could be anything from a pulled muscle, tendon, calcium deposit, to nerve damage. Does the burning feel like it is inside or on the skin? Good luck to you.