EDIT
You can not disable the default WordPress.com feed but you have an option:
If you have the css upgrade, add #feedarea {display:none;}
to remove the default links. Use the feedburner widget code and add it to a text widget. Assign a class to it and using css absolute positioning move it to where the default links were.
My Original Answer below only applies to self hosted WordPress
Claim your feed URLs at Feedburner
Then add this to your .htaccess under #END WORDPRESS
RewriteCond %{THE_REQUEST} ^[A-Z]{3,9}\ /(feed|wp-atom|wp-feed|wp-rss|wp-rdf|wp-commentsrss)(.+)\ HTTP/ [NC,OR]
RewriteCond %{QUERY_STRING} ^feed [NC]
RewriteCond %{HTTP_USER_AGENT} !^(FeedBurner|FeedValidator) [NC]
RewriteRule .* http://feeds.feedburner.com/YourFeedburnerURL? [R=307,L]
RewriteRule ^comments/?.*$ http://feeds.feedburner.com/YourFeedburnerCommentsURL [L,R=302]