You didn't state what you mean by 'really, really high', but it sounds like you should first consult with a doctor if you are starting an exercise program to make sure you exercise safely.
Assuming you do not have a medical problem other than being out of shape, you heart beat is regulated to deliver the required amount of oxygen, glucose, fatty acids, etc to you muscles, brain, etc. When you exercise, your heart rate goes up to meet the increased oxygen demand of your muscles.
If you condition you body with aerobic levels of exercise, you will both strengthen the heart and build a more extensive capillary network making it easier for your heart to supply oxygen on demand. Your heart will enlarge and pump out more blood per stroke and your heart rate during exercise and at rest will decrease.
The number of calories you burn is related to you heart rate in that for a given level of fitness, the higher your heart rate, the harder you are exerting yourself and the more calories you are burning. However, it is not the heart rate itself that causes calories to burn. Burning calories is done by exerting muscles.
So, how to train to lower your heart rate? First, determine your maximum heart rate. The simple method, though most prone to error, is to use the formula 220-age=MaxHeartRate. Then, keep your exercise below 80% of your maximum. You will be able to ride longer and over time will see your fitness improve. If you are really out of shape, you may not be able to sustain 80%. In that case, drop to 70% or whatever you can do for 20 to 30 minutes at a time.
To increase you VO2max, you should try doing interval work with bursts at 90-95% of your maximum heart rate. But first work on building aerobic capacity above.