|'CPU' is your processor (your Intel inside)|
Your burnt smell is more likely the motherboard than your CPU but even more likely your power supply. I see you did not list your make and model on the power supply, this makes me more suspicious of it.
Open the case, let it air out for a while and see if you can identify where the smell is coming from. Using a strong light, examine everything in detail (do not open the power supply), burnt, burst, browning, leaking components are the thing you are looking for, especially on the motherboard and graphics card. If the smell is clearly from the power supply, simply replace it. If any component has any visible signs as above, replace the entire board.
Now is also the time to tell us if you had overclocked either the CPU or graphics card (or even the memory). While overclocking will not directly burn out the CPU in general, overvolting it definitely can so list your overclock and voltages.
You have to be a little bit crazy to keep you from going insane.