Here's some stuff that has helped me out, feel free to take or leave as sounds cool for you:
I would string these three sub-challenges together one after the other, and make like a running narrative of each thing as it happens. I would stay away from trying to have everything happening at once, as I find that when the challenge doesn't have a clear and well-communicated goal, my players usually fall into 'I have no idea what I'm supposed to do' territory. You always wanna be able to say 'what was the point again? oh right, the kid in the burning building'.
Also, unless it's an obvious do-it-or-die situation, I find it's good to straight-up just ask the players if they want to 'take the challenge' as it were, or just pass and do something else. 'You see a child screaming from the top of a building. You can take the challence of trying to help this kid get out alive, or you can keep walking and try to find somewhere else to help.' If they pass, they'll take consequences for doing so, maybe they have time to come back afterwards, maybe it'll be too late.
Hmm, another thing you could do is lay it all out and let them choose the order they want to tackle things in. Maybe they see a child in a burning building, a crazed alchemist running around screaming that his lab is going to explode, a herd of cattle rampaging through the streets, and a girl with her face burned off slowly dying in the gutter... Which one are they going after first, second, and so on? And, maybe they only have time to do three of those things, so they rescue the kid, heal the girl, and stop the cattle before the lab promptly blows up. Then each time they come to town, you could describe 'the big black crater, where the potion shop used to be.'
Regardless, I think it's important to the feel of the game to 1) let the players have a say in what they're going to choose to do and 2) not have them split up to do different things, but rather tackle each thing as a team and with a clear idea of what the objective is at any one time.
As for the results afterward, you should have a good idea of 'something good' that will happen if they fail, maybe giving them some mechanical reward, and 'something bad' that could happen if they fail, pass, or bail out on the challenge, but don't get too attached to the outcomes and try to improvise it out of the decisions of the players. Let the consequences be born out of the actions of the players.
In general I think 'something good' should come with a mechanical reward while something bad should just come with the lack of a reward or a reduced-reward (I would never give an out-an-out punishment)
Maybe if they save the potions lab, they can have some free healing potions, and if they let it blow up, they don't. If they save the girl, turns out she can lead them into the mine through a secret entrance that lets them get in undetected and have a surprise round in the first fight; if they let her die, they just have to go in the normal way. Maybe if they save the kid, their father will reward them with one of the magic weapons from the PHB Lite, and maybe if they steer the cattle away, the mayor is so grateful that he assigns his personal (non-heroic fighter-type) bodyguard to watch over them when they venture forth. Just in general things that would be nice to have but are not powerful enough to be deal makers or breakers.
Oh also give some XP at the end of each challenge, more if they did very good, and less if they didn't do that good (but don't not give any XP, that is discouraging, they should get something for at least trying).
Some other 'burning town' challengy things that can happen off the top of my head:
- Burning ceiling beams can come crashing down
- Your typical 'guy completely covered in flames running around and flailing'
- Smoke inhalation and poisoning
- a bank can have a small river of molten gold coming out of it

- a halfling or a dwarf can go down in a running mob and risk being trampled to death
- the party could possibly get blamed for setting the fire
There's lots of stuff you can do, but mostly I think you'll be better off just focusing on the three or four things that really catch your attention, then add whatever your players think of on top and see what comes out.