Try a chiropractor!! Physical therapists aren't specifically trained to manage disc bulges/herniations to the extent at which chiropractors are. Epidurals simply mask the pain, and will NEVER fix it. Due to the length of duration, you may need to go to a chiropractor a few times, because disc herniations very rarely occur instantly (symptoms might occur instantly, but herniations are typically an ongoing process) and therefore they also can not be fixed overnight regardless of the extent of damage. Make sure you find a reputable chiropractor in the area, who uses diversified adjusting (a type of chiropractic treatment). If you don't know any, look in your yellow pages, or on chirofind.com A quality chiropractor will also give you some physical therapy to help strengthen your supporting muscles in your core and legs.
The burning you are experiencing is often called sciatica, which is a common symptom in disc herniations, but can also be caused by other problems, such as having tight muscles in the hips and buttocks, so your chiropractor should also be able to provide some stretches to loosen these up a bit, specifically your piriformis muscles.
In regards to starting an exercise regimen, you should probably get some type of resolution with your symptoms before you start much weight training, because any additional weight training (unless it is done in water) will load those discs and cause the symptoms to increase. Some people may tell you to sit while performing the exercises- this actually increases the load on your sacrum and lower vertebrae, so it will probably cause more problems. If you choose to see your doctor instead and they give other recommendations, at the very least make sure your back is always extended (stomach out) because this will decrease the chances of symptom aggrevation. Walking and biking as tolerated are a good beginning point, especially if you are just starting, or have not worked out since your disc herniations. If you have access to a pool and can swim without pain, or use a kickboard this is the best because you have a greatly reduced load on all of your joints.
Also- if you seek advice with a medical doctor before going to a chiropractor keep in mind many MDs/DOs/PTs have a biased opinion of us because they don't understand or have misconceptions about what we do. A doctor or physical therapist who is truly thinking in your best interest should encourage you to research other means to get this solved, since they have obviously not been able to themselves. Most of the time surgery is also not the answer, because there are two main routes for disc herniation surgery 1.) Vertebral fusion/Harrington rods- this locks your vertbrae, which are meant to be moved, so your spine will compensate by making other areas more mobile, causing problems in other areas, research in regards to the resolution for this type of surgery in the best cases is 50-50. 2.) artificial disc replacement- the technology is so new that many are not approved by the FDA or AMA, and those few that are are very expensive, and have no longitudinal studies, meaning the longest these have been implanted are less than 5 years currently, so the long term effects are unknown. Good luck