Calmen doon thar, Hurize.
sadron: Burrows are painted onto the landscape in any shape you like, and when a dwarf is restricted into that burrow they only idle/do jobs within that area. You can even make a burrow that has two disconnected parts, in which case a dwarf can cross the un-burrowed space between them but will still only idle/eat/sleep/work in the burrow area itself. Basically, that's it. Oh, also different burrows can overlap each other.
I mainly just use one big one over my entire fortress and put everybody in it to keep 'em inside; only haulers and military aren't assigned to it so they can go outside to fight/clean up after fights. If you're an efficiency nut you can do things like make a burrow that includes only food, bedroom, and hospital areas and restrict your doctors to it so they're less likely to be busy when you need 'em. Making separate areas for each profession and restricting workers to these areas via burrows is fairly common. I like to make a burrow that only covers the Trade Depot and restrict my trader to it whenever the caravan arrives so he's forced to go barter instead of party, the bastard 0_o
Also, some jobs don't properly check burrow status: sometimes a dwarf will want to do a job that has items or destinations outside the burrow they're in, and you'll get job cancellation spam until you allow 'em out to do it. For example, per the doctor burrow above, doctors like to put suturing thread back into a cloth stockpile, and if you don't have one of those inside the doctor burrow, they'll stand where they are and complain about it rather than getting on with things.
Hope that helps! If ye're confused, just play around with 'em for a bit. They're pretty intuitive once you figure out how to designate 'em and assign dwarves.