Fire is the rapid oxidation of a material. Water is 2 hydrogen and 1 oxygen. Every molecule is fully oxidized. It's also a common byproduct of fire. Therefore, you can't burn it, because it's already burnt
Furthermore, you can burn water with a strong enough oxidizer. Oxygen, despite lending its name to the word "oxidize", is not the best oxidizer out there. That belongs to things with fluorine in it. You can burn water with pure fluorine gas to produce hydrogen fluoride and oxygen.
Don't try this at home. Both fluorine and the resulting HF is deadky.
HF is itself a super nasty piece of work -- a deadly acid that seeps through your skin and kills you from the inside.