This may burn a little.
A doctor's treatments may sometimes cause a burning sensation, e.g., a vaccine might cause a localized burning sensation, so this is a phrase a doctor might say. However, the treatment here, while it may cause a burning sensation, is not usual. Magnifying glasses focus light, sometimes so much so that they can light things on fire at their focal point, which may cause a burn. It's funny because it's not clear why the doctor is treating his patient with a magnifying glass that will burn him.