Color Burn is not working?

Hi everyone!
I get to use Photoshop CS3 from time time and I recently found a problem: I want to Color burn 2 Layers, yes I know how it should work but it does not. I got 2 Gradients, one is somewhat red to white and the other one is grey and white mixed in a strange way (I'm just experimenting).
I got these two layers, and as soon as I create the Gray-White gradient, the whole painting is just like the Gradient and not the Color burnt with the other ones. So it ignores the mode "color burn" somehow.
What am I doing wrong?

Thanks in advance!

I may be a little confused, but if you are working with a gray or white layer the color burn will not work as there is no color to work on. Does that make sense?