Dodging and burning is not much different from its Photoshop counterpart; you use it to brighten (dodge) and darken (burn) elements within an image. e.g., You can create shadows on a face using burn.
Set the Intensity slider under the Dodge/Burn FX brush to the left to burn; set it to the right to dodge. Remember that if you want to intensify a burn even more, for example, you have to go back into the option and confirm. (Don't know if this is by design or a bug.)
Another option I often use is to create an empty layer above the image layer then select the "overlay" blending option. Then use the paintbrush set to about 25% or less Hardness and 2-4% Flow. Paint with black to darken areas, with white to lighten.
Since this blending mode is affecting contrast, it may work better on some parts of the image than others. The advantage is since you're working on a separate layer it's nondestructive; you can paint over areas, erase, change the layer opacity, etc. without messing with you r image layer.
You also might try the same thing with layers set to Multiply, with black color, to darken (burn), or another set to Screen with white paint to lighten (dodge). Gives you lots of control.