The warning light you are describing is the "check control" warning light, which is used to indicate a fault in one of the vehicle's systems. The specific fault that is causing the light to come on can be determined by using a diagnostic tool to read the fault codes stored in the vehicle's system. In order to diagnose the issue with your vehicle, it will be necessary to have the fault codes read and the vehicle inspected by a mechanic or a BMW dealership.
The burning smell you are describing could be caused by a variety of issues, including a malfunctioning exhaust system, an electrical issue, or a problem with one of the vehicle's components. It is important to have the issue looked at as soon as possible to prevent any further damage to the vehicle. If you continue to experience the burning smell or any other issues with your vehicle, I recommend contacting a BMW dealership or a trusted mechanic for further assistance.