Its used to cauterize a wound, basically to burn the blood vessels and stop it from bleeding, seal the wound and prevent infection. They do the same thing in surgery, but with a highly more refined soldering iron like device. Its a old school trick, heat up something red hot and hold it there to seal off the wound. The charred skin will fall off in a couple of weeks, it'll leave a nasty scar, but if you have nothing else, burning the would will help prevent infection, gangrene, etc.