ouch !! cold water just after the burn, let it falling on your burn rather than dive your hand in the cold water.
then just invest in a cream for burns, i like to use biafine, it comes in various sizes, cost only a few euros and is also good on sunburns. i dunno if you can get it in the us though.
Perfectmistake suggested in an old thread toothpaste, but i never tried it.
make sure you put a good amount of cream on your burn, let it be absorbed a little then cover it with a bandage (gauze is your friend). usually i repeat that until i'm sure everything has disappeared.