Hello,
I'm a guy but maybe I can help you out because my scalp has been a hassle, too.
Well I had a sensation of a burning scalp for a while also, but I believe mine was associated with the overuse of scalp shampoos like nizoral and t-gel. It was a wierd uncomfortable burning sensation, but when I stopped using these for a few days, and limited how often I used them thereafter, the burning siezed.
I still get a itchy irritated scalp though and here's what I do to combat it:
Nizoral Shampoo 3 times a week
Lasercomb 3 times a week (a big investment for something that's not proven to work, so i'm not suggesting you buy one)
Hydrocortizone lotion (this is a steroid lotion prescribed to me by my doctor) but it really calms my itch down if it flares up.
I also (as funny as this sounds) dunk my head in really really really cold water at night. This is supposed to help with circulation, and it feels pretty awesome.
I give myself scalp massages, too. This is supposed to help circulation.
... tee tree oil, johoba oil, and emu oil are also good for moisterizing your scalp if dryness is an issue.
I know none of this really applies to your burning scalp sensation, but it's all the advice I have to offer. Best of luck to you; you should browse through the guys forum's there's a decent amount of us suffering from this "burning" you experience.