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

simplex:
You can use your Arduino Uno R3 as an ordinary ISP programer for your atmega328p chips. You can write them with any kind of code, including a bootloader if you really need it.
see this tutorial: http://pdp11.byethost12.com/AVR/ArduinoAsProgrammer.htm

If you had read his postings you would have seen that this is exactly what he was trying to do.