There are three energy systems in the body that are Always running to suppy energy: THe Phosphagen, glycotic, and oxydative systems all run with vary degrees of productivity depending on the exercise.
The ONLY one of the systems that can produce energy from buring fat is the Oxydative system. This can only use fat when there is enough oxygen in the body - hence you are doing aerobic exercise. But even if you train in an aerobic style, but you do not have enough oxygen, your body will not be able to burn fat for energy.
I am not sure how accurate this is, but i read in a book somewhere that said if you can carry on a SMALL conversation while doing something aerobic, then you have enough oxygen and WILL burn fat. However if you are out of breath, then you probably passed your anerobic threshold and are no longer using fat for energy due to lack of oxygen.
-Fatty