There is one big requirement that has to be met for a leaf to burn if you hold a magnifying glass glass to it; the sun has to be out. Why do you think that is? Well, a magnifying glass is usually used to make something appear bigger to your eyes but it can also be used to focus things to one point.

Look at this image Imagine that the lines that are parallel on the left are the suns rays. They are all spread out and separate. Once they hit the magnifying glass, or the lens indicated by the circle, the rays all become focused on one spot. This spot is indicated on the diagram where all of the lines come together. By focusing this spot onto something that could burn like a leaf, or piece of paper, the solar energy becomes concentrated enough to create a little fire.