When something burns, fuel gets very hot and gives off gases. These hot gases then combine with the oxygen from the air to produce a flame. So for something to burn there must be a fuel, oxygen and a source of heat.
You know this because a lump of coal (the fuel) can sit in air forever without burning because it is cold. It only begins to burn when it gets hot. Lots of things can make it hot, such as a lightning flash, a spark from a firelighter, or you can strike a match.