You can target a Planeswalker with Boros Charm and any spell that says "Target player" as long its damage
Only cards that cant do that is something like Bump in the Night
The spell doesn't actually target the planeswalker because the planeswalker is neither a creature nor a player (the kinds of objects that burn spells can normally target).
However, there is a rule that allows you to redirect noncombat damage that you would deal to an opponent to a planeswalker that player controls instead:
306.7. If noncombat damage would be dealt to a player by a source controlled by an opponent, that opponent may have that source deal that damage to a planeswalker the first player controls instead. This is a redirection effect (see rule 614.9) and is subject to the normal rules for ordering replacement effects (see rule 616). The opponent chooses whether to redirect the damage as the redirection effect is applied.
@DePeluche: Although the end result is the same (the planeswalker takes the damage), the process never targets the planeswalker, and spells or abilities that target only players cannot target planeswalkers.
Both situations were sort of "right", but there were some technical details missing from each one.
It's true that effects that say "target player" can't be used to target planeswalkers, but there's a special rule about planeswalkers that lets you deal direct damage to them. If a source you control would deal non-combat damage to an opponent, you can choose to redirect that damage to one planeswalker that opponent controls. When you hit a planeswalker with Boros Charm , etc., what you're actually doing is targeting the opponent with the effect, then redirecting the damage when the effect resolves. Players often shortcut this by just saying something like "Searing Spear on Jace" when casting the spell or activating the ability.
So when a player is hexproof, a planeswalker he controls won't be able to get hit by burn?
To a degree. Targeted burn spells like Searing Spear wouldn't be able to target the player, so they can't be cast in a way that would allow their damage to be redirected to a planeswalker that player controls. However, nontarget burn spells and effects like Crackling Perimeter can still hit hexproof players and thus can be redirected to planeswalkers.