Question

"Iron does not burn on heating but iron filings burn vigorous when sprinkled in the flame of the burner." Explain

Answer 1

It means Iron is not reactive enough to react with oxygen at NTP (Normal Temperature and Pressure) and cannot burn(oxidise) when it is in large pieces. Please Note that Iron filings (Pic above) are small pieces of Iron that are combustible.
It means Iron oxidises to form Iron (II,III) Oxide on sprinkling iron filings over flame as under:
$3Fe + 2O₂ ----∆----> Fe₃O₄$
$Iron (2,3) Oxide is \bold{not}$ a compound. It is a mixture of $FeO and Fe₂O₃.$
If you still can't understand, then sorry my friend you reflect the situation of most students in Indian education system where they lack practicals and experiments. I can't do anything else.

Answer 2

Iron does not burn becside it has less surface area.

Iron fillings has more surface area hence it burns.