Is that possible to write a program to burn a computer literally?
Not really. Hardware is pretty robust these days. A combination of hardware countermeasures (such as shutting down when overheating) combined with intelligent drivers will do a good job of stopping you from doing something really destructive.
I have heard of monitors being damaged by software, but that's ancient history, not anything recent. As far as hard drives, I guess you could spin it up until it overheats or something, but that's not going to be a quick kill.