Agreed, you shouldn't use the burn tool for anything other than darkening an area that is already has its shading finished. The problem with it as opensource said, is that it simply darkens the colour. Shadows are very rarely a direct darkening of the source colour, but more often an ofshoot, and usually quite saturated (in order to make the picture look alive with colour).
Anyway...the way you did the shadowing dosent really grab me. As previously said it looks like a burn tool marathon, and again already said its not even laying where it should, but on top of creaselines and such. Its like a cell shaded attempt gone all wrong. The fact that it's blurry dosent help much either, but looks more like its an attempt to mask a quick and lazy job.
Go back to it and lay down the base colours again. For a more realistic look (with different depths of shades) try this...First, either make a new layer (i don't like to personally) or start painting on the base colour layer with the darkest colour you want the shadows to be on a 10% opacity 75% flow hard round brush. With each stroke the shadows will darken , so its an effective way to build up convincing shadows. Do the same with highlights, and you should have something worth posting for crits.
For a cellshaded look you need to make 3 layers at least, one for base colours, one for shadows and one for highlights. Choose your 3 colours carefully and lay in the shadows with a 100% opaque hard round paintbrush. Once you've got the shadows in roughly, go back with the eraser and carve away at the shadows till its the shape you want it to be. Do the exact same thing with the highlights (but don't go overboard with cellshade highlights, 2 levels of shading is more effective).
Also one last point on colouring, make sure you choose a solid lightsource (and maybe even a secondary one of you wanna get ambitious) and stick to it. With this pic i'm not really seeing and light source at all, just "skin style shading" for lack of a better term.
Just a few thoughts on the background now... Personally (because this guy looks like he's just dropped a long way) i'd extend the pic upwards a long way, and add in some sort of busted up warehouse with a hole in the roof like he's just smashed his way in (with warped perspective). By doing this i'd give myself a solid lightsource to work from, and it'd wrap up the foreground and background composition nicely.
/reads. Looks like i wrote a little more than i meant to, but yeah whatever. I just hope you read it and take it constructively