I burnt my finger whilst cooking i have used burn gel,creams,water and cling film but nothing's stopped the burning.

It takes time: Burns injure not only the skin, but also the nerves under the surface of the skin. Most simple, superficial burns heal on their own and pain is gone in a few days; deeper burns may take up to a few weeks for the pain to completely go away. Ice applied to the site for 20 min at a time, and ibuprofen, can help manage the pain until your wound heals. See a doc if it's bad!