Can any body tell me why sodium metal start to burn when add with water?

When you add sodium to water the following reactions occurs.



The reaction is very exothermic (releases a lot of heat) and the hydrogen liberated catches fire (it is more flammable than sodium). This now will burn the sodium and you'll see the yellow flame.

From the electronic point of view, just losing an electron would bring to sodium a noble gas structure. This justifies the fact commented by unknown008: the reaction is very exothermic.

Unknown008 is completely correct. I would add (having done this MANY times, sometimes on purpose) that are two things that make the reaction really spectacular.
1) The sodium floats, so it is right on top of everything and reacts with air at a fast rate.
2) The sodium is melted and the liquid is easily dispersed and forms smaller droplets which REALLY react at the maximum rate. Sometimes the whole thing explodes! Neat!
If you ever see this done, make a cube of sodium (you can cut it with a dull knife). When you drop it into the water it pops back to the surface, already a hissing, shaking sphere of molten sodium. If it's a small piece, it may stay this way and scoots over the surface for a few seconds and then disappears by reaction. If it's bigger the hydrogen catches fire as Unknown008 says and burns with the yellow sodium flame. A piece the size of a large pea does all this and then: KABLOOIE!!
What is really neat is to drop the piece of sodium into liqud ammonia (pure, liquid NH3). It turns a beautiful deep blue -- black just to look at it. This is the colors of electrons! (Na ---> Na+ + e- ) If you evaporate the ammonia you get the sodium back unchanged, If you make a shallow pool of the ammonia the sodium reappears as a beautiful mirror, Like the silver in a Tollens test. (But don't let it contact air!)

Hm... I'll have to try the ammonia one one day ;)

Oh and the piece of sodium sometimes even act like a little hovercraft, floating on the cushion of Hydrogen gas formed. Of course, this occurs within a short lapse of time.

In the same light as the ammonia behavior, Marcc, the exotherm doesn't come from the loss of the electron but rather form the solvation of the newly formed Na+ and OH- ions. Na is ionized to Na+ and dissolves very quietly in ammonia with no noticeable exotherm.

It is true that the effects of solvation in water are much stronger; but it is also true that the great reactivity of sodium and all alkali metals with protons are because of the great energy of the electron they lose.

marcc
The unpaired s electrons of the alkali metals are not expelled with great energy, they are just very easy to pull off. (Low ionization energy.) The energy changes occur when they reach their destination, not at their origin.
I think we both agree that the s elecrons are the source of their great reactivity.