Burning yourself by touching boiling water is an example of conduction. Conduction involves the direct transfer of heat through direct contact with a hotter object. When you touch boiling water, the heat from the water is transferred to your skin, causing a burn.
In contrast, convection refers to the transfer of heat through the movement of fluids (liquids or gases), and radiation refers to the transfer of heat through electromagnetic waves (like the warmth felt from the sun).