You should NOT burn pressure treated lumber.
Pressure treated lumber is highly resistant to fungus in insect attack because it is sprayed with a chemical repellent that bonds with the lumber cells. Burning pressure treated lumber will release the bond and send the chemicals airborne, which can cause toxic fumes. This is especially notable if the lumber is from an older structure, pre-1983, that was sprayed with CCA before it was banned for residential use. CCA is a solution that has been used on pressure treated lumber since the 1940's containing copper, chromates, and arsenic. Just one tablespoon of ash created from incinerated CCA lumber contains a lethal dose of arsenic.
All 50 states have banned the burning of CCA lumber.
"CCA pressure treated lumber: Arsenic toxicity." Origen. N.p., n.d. Web. 21 Nov. 2011. .
"Chromated Copper Arsenate (CCA) | Pesticides | US EPA." US Environmental Protection Agency. N.p., n.d. Web. 21 Nov. 2011. http://www.epa.gov/oppad001/reregistration/cca/
"Pressure Treated Lumber Questions & Answers | Toxics & Hazards | MassDEP." Mass.Gov. N.p., n.d. Web. 21 Nov. 2011. http://www.mass.gov/dep/toxics/ptlumberqa.htm