During intercourse is my female area supposed to burn?

No, it should not. Burning during sex most of the time is related to insufficient lubrication. You could try increasing lubrication by clitoris stimulation prior or using a water based lubricant. If that does not help, you need to see an obgyn to investigate possible infections

Using a vegetable oil based lubricant, such as olive oil, will last longer than a water based lubricant. This maybe helpful if natural vaginal lubrication is decreased. Otherwise, more foreplay and a water based lubricant may be the solution.