|Very likely your PS has failed - that is a common problem. CD or DVD drives rarely produce smoke or a smell when they fail, and as you said it wasn't being used at the time.|
Don't turn it on.
See response 4 in this, check out the things that don't require the PS to be on.
If the PS itself stinks, it's dead or dying.
If you don't have a good sense of smell (e.g. if you smoke), have someone who has a better one sniff it
You could turn it on and try the other suggestions in that, but if the PS is failing, you take the risk it will fail completely which can do random damage to any of the other components connected to the computer, especially if it shorts or the voltages are way too high.
The cold cathode light burning out could very well be a symptom of the PS putting out too much voltage to it. Other things that tend to fail first in that situation that I've seen - your floppy drive, your CD drive(s), your video card or onboard video, other cards in slots.