Burn is the bootstrapper engine, not the builder. The error is ERROR_INVALID_DATA, which makes sense because burn.exe does have any data attached to it; The builder copies and modifies it to contain and/or point to containers for your bootstrapper's data.
To build a bootstrapper, you create a WiX document with a bundle
element and then run candle.exe
and light.exe
on it.
Many people use a build system to run their tools and an IDE to manage their projects. WiX integrates with MSBuild and Visual Studio (non-free editions). There is a WiX Bootstrapper project template for Visual Studio provided, too. The SharpDevelop IDE has its own WiX templates (but currently not for the Bootstrapper.)
Note: All WiX projects are MSBuild projects so you can hand-write projects and/or build them with MSBuild instead of the IDE.