How to burn bootloader on a new ATmega328-PU with an Arduino ?

What version of the Arduino IDE (Adruino Program) are you running? Version 022, 023 work fine, Version 1.0 has a problem and version 1.01 should work. My best experience was with 022.

The resistor needs to be connected on the Arduino Board, not on the chip to be programmed. 120 - 150 Ohms to +5V and reset.