What you're describing here can be a few things. First of all, the AUX stands for auxiliary.
For speed fan to work, fans need to be connected to the motherboard so speedfan can adjust the fan speed. I personally am able to control the CPU fan and the fan of my GPU with speedfan, but not the rest of the fans. That's the answer to the question why not much is changing. Make sure there are fans connected to the motherboard.
For the burn thing, if there are no fans connected to the motherboard, speedfan will give probably give 1 continuous temperature. It might also give false readings. Your cpu could just be too hot though. But what I'm thinking is that you cant control any fan.
For the AUX answer, I've been so kind to borrow a piece from a FAQ at the lavalys discussion forum:
Q#18: What does the "Aux" temperature shown on the Computer / Sensor page mean?
A#18: There is no standard for sensor registers layout, so the "Aux" temperature could show the temperature of the CPU or the motherboard, or might be a non-connected wire of the sensor chip, and so it could show a bogus value.
->this is for a program called everest, but I think it's the same for speedfan.