It does burn 'differently' in that your heart rate is one of the best ways to figure out precisely what is being burned when you burn a calorie. This page has a good basic explanation about the fat-burning basics, while this page has more details about each cardio zone. Basically, if you are doing moderate intensity workouts, you are burning the maximum amount of fat per calorie you burn. After the 'red line' threshold, you will start burning pure sugar, which isn't especially helpful when your goal is eliminating weight.
When you're just starting out, the chief goal of your cardio workout should be to get to the aerobic training zone and stay there as long as you can. That is where you will burn fat most efficiently, and it's a moderate pace so you will be able to keep it up long enough to do a number of other awesome exercise related things - get a nice endorphin buzz, build some confidence that yes, you can in fact do this, get sweaty without killing yourself, and all around have some fun with it. This is something that a lot of people can miss when they're starting to think about exercise - at the end of the day, this is recreation. If you don't look forward to your workouts, it's time to ask questions and try other exercises until you find something you enjoy.
When you get more comfortable and want more of a challenge, you can push yourself into spurts in the higher zones to help build your endurance. You are burning more calories in the higher zones, so you still might burn more fat calories in the same time even though it's not as efficient (first page points that out too).