I assume you mean the file shown left in the image below
I suspect your Windows Explorer is not set to show file extension so the image filename appears as on the left in the image below.
MEP can create up to four temporary files for each video file used in a project in the same folder with different file extensions:
.HDP
This is the file you are seeing, if you could see the extension it would look like the right filename as in the image above.
.H0
These may also exist in the same folder as the video
.MXV
If you have proxy file creation turned on then these are created when using HD video, they will also have the word proxy in the filename and some random numbers eg
Once a project is complete you can safely delete these files to save disc space - they will be recreated if you go back to the project at a later date. I suggest that you use Windows Explorer and turn on 'show file extensions' before deleting.
It is not the burning that causes the appearance of these files.
MEP has always created some temporary files depending on settings in the program and the source file format.
The H0 and HDP files are created when you add the source files to the timeline.
MXV and WAV files are only created if you have the Create proxy files option turned on in the projects settings and are required depending on the source file resolution and format.
WAV files are also created if you have surround sound audio in your original video files and you right click the audio track in the timeline and select "Extract audio tracks".