We are following Agile SCRUM methodology in the project and we came accross a huge user story that spans accross 2 sprints. How do we report this item in the burn down chart? Which sprint backlog should this user story belong to?
User Stories should always be broken down into work items that can fit within the timeframe of the current sprint.
Bring the story to your team and ask them how they would logically break it down to work on it iteratively. Based on that feedback, you can create multiple stories from the original parent story to represent the work and then prioritize/estimate them separately.
In terms of backlogs, you may need to track a Program-level epic backlog with the larger user stories that are being discussed and prioritized with the business stakeholders. If that is the case, you'll have your epics in the Program-level backlog that spans the entire Release. As the stories become more firm and detailed, you can move them into the team's implementation backlog.
I've seen some Product Owners actually maintain a separate excel spreadsheet for the "Business" view of the backlog and just keep their standard backlog for the team with only the broken-down user stories.