I've the feed burners code to place into wordpress but don't know where you can place it into wordpress.

Mind you to ultimately the next file: wp-includes/general-template.php

Then for the reason that, jump lower towards the following function (around line 1454):

function feed_links( $args ) {
  //--guts of the function
}

You'll note two (2) lines right before the close from the fuction like so:

echo '<link rel="alternate" type="' . feed_content_type() . '" title="' . esc_attr(sprintf( $args['feedtitle'], get_bloginfo('name'), $args['separator'] )) . '" href="' . get_feed_link() . "\" />\n";
echo '<link rel="alternate" type="' . feed_content_type() . '" title="' . esc_attr(sprintf( $args['comstitle'], get_bloginfo('name'), $args['separator'] )) . '" href="' . get_feed_link( 'comments_' . get_default_feed() ) . "\" />\n";

Edit the very first line together with your Feedburner URL, like so (damaged across lines for clearness and also to help you save from scrolling as with the above mentioned code block):

echo '<link rel="alternate" type="' . feed_content_type() . '" 
         title="' . esc_attr(sprintf( $args['feedtitle'], get_bloginfo('name'), 
         $args['separator'] )) . '" 
         href="http://feeds.feedburner.com/example"' . " />\n";