What would I do? Personally, that depends. I prefer my burgers and steak well done, so if it's burned, that's not as bad as the guy sitting at the other table who ordered his steak rare and it came out burned. I would taste it, just to see if it is the slightest bit palatable, and if not, then yes I would say something to a manager, but keep it very low-key and not raise a huge fuss. Maybe it's because I myself am in the customer service business, and the fact that I absolutely hate it when angry customers make a big stink over something that's quite easily corrected. I would just ask politely for another steak, and when it arrives, I will eat, enjoy myself, and leave a large tip.
I have only once ever had to do this: I ordered a fillet of grilled salmon (for $25) and the results were disheartening: it tasted more like canned tuna than grilled salmon, the fillet was very, very small and not thick enough, and it was lukewarm, not hot. I just mentioned quietly to the waitress that I wasn't satisfied with the taste, and if I could please have another, and she ran quickly do to so. I actually had the cook and two managers come out and apologize to me, which I wasn't even expecting. And I did leave a tip that day.