We typically suggest easing into it to minimize harsh initial side effects, so by now you are in the second week so you are using it twice daily and your skin is experiencing the hardening phase. Read more here: http://www.acne.org/faq.html#burn
Am I understanding you right that you did not use moisturizer during the first week? Do not skip the moisturizer even if you feel you don't need it. It helps prevent dryness.
While a bit of burning is a common sensation, it should not "burn like hell". You are either using too much too soon or you may be sensitive to it. If you feel that you are experiencing something out of the ordinary please discontinue and see your doctor for advice.