This is a good reference, http://www.lee-mac.com/tutorials.html#lisptutorials ,
You'll also need to look here for a sub function LM:burstsel (always a good plan to link where routines are posted): http://lee-mac.com/upgradedburst.html
To give a better answer for you, 'I never used script' - do you need a tutorial on creating a script or LISP from nothing, or do you know somethings and just need a bit of guidance for AutoCAD scripts in particular?
If you want to use what dan20047 offered as a LISP routine you might want to make it into one, something like:
(defun c:boks ( / ) ;Burst OverKill Save
;;Burst all ojects
(LM:burstsel (ssget "X") T) ;;http://lee-mac.com/upgradedburst.html
;;Overkill command
(command "overkill" "all" "" "")
;; repeat as many times as required depending on complexity of nesting
(repeat 3 ;; 3 repeats
(command "PURGE" "A" "*" "N")
)
;;save as DXF
(command "saveas" "dxf" "v" "r12" "16" (strcat (getvar "dwgname") "_r12"))
) ; end function
-EDIT-
Should have called this routine BOSs - Burst OverKill Save s, D'Oh!