Buergbrennen is on old Luxembourg tradition, marking the transition from winter to spring.
Update: photos of the 2010 event can be found here
Apart from being an occasion for celebration (including the very tasty grilled sausages accompanied by some mulled wine), this tradition is mostly characterized by the burning of a huge wooden cross at the end of the day:
This year, the Buergbrennen in Luxembourg City will take place on Sunday, February 21, 2010 in the vallee de la Petrusse (the valley beneath the Adolphe bridge going all the way to the Grund).
Small stands of food and drinks will be open as from midday on Sunday, with the big celebration starting at 19:00.
Have fun !