The clipboard is part of windows.
It's what windows uses when you copy + paste text or files between programs/locations.
It's not something you really see, it's just 'there'.
Press the 'Copy to clipboard' button in ImgBurn and then position your cursor within the text window to reply here on the forum. (i.e. the white box where you type stuff!) Now right click and select paste (or press CTRL+V).
Copy and paste is a very basic process, honest!