Here is an interesting discussion: http://scifi.stackexchange.com/questions/9356/is-daenerys-targaryen-immune-to-fire
Looks like @giantfan1224 has the details right. On the topic of general immunity, however, here is a Q&A where GRRM answers this directly... but either he was holding back spoilers, or the show has deviated on this point:
I just think it shows that the TV show is not his beast anymore. They have always taken liberties, but this proves even more so that they are going to take the story where they want to, how they want to.
And on the topic of the books. I am not sure he will ever finish them. Personally, I think he got tired of writing them after the third book, and now he is begrudgingly putting them down on paper for the publishers and the fans. The quality and feel from book 3 to 4 (not to mention the amount of time to put it out) took a nosedive.