Either way you go, you want "Ida" (ee-da) (one way) not "Ida y Vuelta (round trip)
You can go by bus or train. At the bus station, each bus company has a sign which states the cities they go to.
For bus information, go to
http://www.alsa.es
For train information, go to
http://www.renfe.es, then click on "Buscador de Horarios" (schedules), then search for Burgos to Madrid. If you go to the train station, there will be a sign telling you what the schedule is. You can then buy your ticket at the station.
Salidas=Departures
Llegadas=Arrivals
Kelly