Rabbits live in a burrow or a set of tunnels under the earth. They make these tunnels by burrowing, or digging holes with their bodies.
Just one letter separates burrow from borrow. To remember the difference, think of the 'u' in burrow as the 'u' for under. Burrows are always underground, and when you burrow under something, you are always going beneath it. Worms can burrow into apples, and on a cold day, you might decide that you'd rather stay in and burrow underneath your blankets.