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Should you just turn around and go home?
No, if you want to complete your journey, you have to treat a burned county like a literal dead end street. Go back and try a different way!
UpFront with NGS has an interesting post today about the return of some VERY early Charles City County, Virginia records. You can read the post, here.
A "burned" county is the term generically applied when civil records are lost, often to a courthouse fire. However, in the post I've linked to above, the record loss was from records stolen by Union Civil War soldiers. In this case, the records have finally been returned.