I usually take the attitude where there is smoke, there is fire.
If you now have an uncommon smell, then you are right to be at least slightly concerned....until you figure out what the problem is.
You should be looking at your coolant. Look for oily substance in the radiator (only open when it is cool), and the radiator should be filled with no air. Oily substance would indiate a potential blown headgasket. If you have air in the radiator, then you could have a leak in the overflow tubing, a problem with your radiator cap, or again a head gasket problem.
Check to be sure your oil is clean, not milky, and not overfilled. Milky would indicate water in the oil, overfilled would indicate that liquid getting into the oil crankcase.
A head gasket problem is very serious, as coolant that gets into your oil will ruin your engine bearings, and will be extremely expensive to fix.
You should also make sure your radiator fans are turning on as appropriate, you may have a fan motor, a sensor, or relay problem if they aren't.
Do you know what an overheated front disc brake smells like? If you have a sticking brake caliper you'll smell burning brakes and the wheel will be very hot.