Not necessarily burn the computer parts because almost all motherboards now has a safety function. Whereas if a device or PC part reaches its peak or hit a certain amount of temperature it will automatically shutdown.
General risks will be shortening the lifespan of THAT specific item you are overclocking IF not cooled properly.
Overclocking means you are supplying more voltage than the default setting. More voltage, more heat. More heat, Less lifespan. But don't worry it won't break in 6 or 7 months. For example your processor has a lifespan of 5 years it will narrow down to 4 or lower it really depends.
But be careful okay? Over voltage sometimes hurts the equipment. But this is when you do not know what you are doing.