Don't worry.There are several reasons causes the burning smell. it could be oil leak that some oil soaked to the exaust manifold.-because the exaust manifold is very hot, so the oil there burns and give you the smell. Another could be a slighty leak of coolant in your heat coil.- The engine coolant pass throught the heating coil of your air fan that give you heat in your vehicle. If there is a pin hole, that will give you the smell too.
Find out more, like if there is any smoke? any lost of coolant? any lost of other fluid? any crack or hole on the exaust line? any oil leaks?
Most of the problem can be fixed.