Ensure that Burp is running.
In your browser go to any HTTP URL (don't use HTTPS for the moment.)
Your browser should sit waiting for the request to complete.
In Burp, go to the "Proxy" tab, and then the "Intercept" sub-tab.
These tabs should be highlighted, and there should be an HTTP request showing in the main panel.
Click on the "Intercept is on" button so that it says "Intercept is off".
Go back to your browser, and you should (shortly) see the URL you requested being loaded in the normal way.
If things aren't working in the way described, please refer to the troubleshooting page.