There are a total of 12 Borgia towers to burn down in Rome. To access these buildings, you must first kill the Borgia captain. If you happen to get caught while trying to kill the Borgia captain, he will flee. If you are unable to kill him before he flees, he will be gone until the next shift. Kill him when he appears again. You can use your Assassins to kill him rather easily. Upon killing the Borgia captain, the tower can be climbed and set ablaze.
You cannot access all 12 Borgia towers right at the start of the game. There are several locations in Rome that you cannot access. Upon completing Sequence 6, you will be able to locate the final Borgia Tower.