A candle wax burner is a device that lets you heat up wax, just like that in a candle, but in a container instead. You can buy wax, just like in a candle except without the wick. You simply take the wax and place it in your burner. The burner will heat the wax and create the comforting feeling of burning a candle. When you have finished all you need do is turn off the burner and the wax will solidify once more and you can use it the next time you feel like it.
There are different types of wax available on the market. Most are made either of paraffin wax or soy wax; note that paraffin wax is a petroleum by-product so if you are concerned about using non-renewable products you should use soy wax. Wax can come with different fragrances impregnated in it and if you want to create an interesting effect you can combine different wax aromas to create a mixture.