I have gotten the burrow detection example map and copied the triggers exactly. Doesn't work. I have NO CLUE to what could be wrong, can anyone help me?

Post your triggers. Go to the Text Trigger Editor (I hope you have SCMDraft2; if not - DL it) and copy/paste the triggers. If you haven't made any mistakes while copying them from the example map to your map, we can safely assume that other systems or conditions from your map interfere with the burrow detection.

Trigger("Player 1"){
Conditions:
Always();

Actions:
Move Location("Current Player", "Zerg Zergling", "Anywhere", "Pixle Size Location");
Move Unit("Player 9", "Zerg Zergling", 1, "Comp Ling", "Pixle Size Location");
Preserve Trigger();
Comment("1");
}

//-----------------------------------------------------------------//

Trigger("Player 1"){
Conditions:
Bring("Player 9", "Zerg Zergling", "Pixle Size Location", At least, 1);
Deaths("Current Player", "Zerg Zergling", Exactly, 1);

Actions:
Set Deaths("Current Player", "Zerg Zergling", Set To, 0);
Preserve Trigger();
Comment("2");
Display Text Message(Always Display, "Burrowed");
}

//-----------------------------------------------------------------//

Trigger("Player 1"){
Conditions:
Bring("Player 9", "Zerg Zergling", "Pixle Size Location", Exactly, 0);
Deaths("Current Player", "Zerg Zergling", Exactly, 0);

Actions:
Set Deaths("Current Player", "Zerg Zergling", Set To, 1);
Preserve Trigger();
Comment("3");
Display Text Message(Always Display, "Unburrowed");
}

//-----------------------------------------------------------------//

Trigger("Player 1"){
Conditions:
Bring("Player 9", "Zerg Zergling", "Comp Ling", Exactly, 0);

Actions:
Move Unit("Player 9", "Zerg Zergling", All, "Anywhere", "Comp Ling");
Preserve Trigger();
Comment("4");
}

Try this:

Trigger("Player 1"){
Conditions:
Always();

Actions:
Move Location("Current Player", "Zerg Zergling", "Anywhere", "Pixle Size Location");
Move Unit("Player 9", "Zerg Zergling", 1, "Comp Ling", "Pixle Size Location");
Preserve Trigger();
Comment("1");
}

//-----------------------------------------------------------------//

Trigger("Player 1"){
Conditions:
Bring("Player 9", "Zerg Zergling", "Pixle Size Location", At least, 1);

Actions:
Preserve Trigger();
Comment("2");
Display Text Message(Always Display, "Burrowed");
}

//-----------------------------------------------------------------//

Trigger("Player 1"){
Conditions:
Bring("Player 9", "Zerg Zergling", "Pixle Size Location", Exactly, 0);

Actions:
Preserve Trigger();
Comment("3");
Display Text Message(Always Display, "Unburrowed");
}

//-----------------------------------------------------------------//

Trigger("Player 1"){
Conditions:
Bring("Player 9", "Zerg Zergling", "Comp Ling", Exactly, 0);

Actions:
Move Unit("Player 9", "Zerg Zergling", All, "Anywhere", "Comp Ling");
Preserve Trigger();
Comment("4");
}

Still doesn't work. I got rid of everything that would be interfering and still nothing.

Idiot check:
-Is the zergling you move actually P9? Make sure no external trigger is giving it to another player.
-There is only one zergling in the "Comp Ling" location. Make sure no other zergling is moved or created there.
-Make sure that the triggers I posted are placed in the same order.
-Are you loading the right version of the map?

If that doesen't help, simply give me the map.

Hah, the idiot check didn't help but I figured it out. Thanks JaFF.

Out of curiosity - what was it?

I had about 20 lings for player 1 on the map. I overlooked the fact that the trigger was set to center on a zergling. There was about 20 in the location I had.