A clogged air filter can present all sorts of symptoms. Your first step should be to check your air filter. If it is clogged, damaged, or wet, shut down your system and replace the filter. Check to see if the issue is resolved. A clogged air filter can cause the air handler to have to work harder and may hasten component failure.
While you are examining your air filter or filters, check the area around your intake. If there is a burning odor in the area around where your air conditioner pulls in air, it will very quickly be spread throughout the house and it will be difficult to ascertain where it is coming from. Ensure the smell is coming from your HVAC system by ruling out a problem at the intake site.
Check your air handler for any signs of damage. Air handlers are typically placed in the attic and do the work of absorbing heat from inside the home and transporting it outside to your compressor/condenser to be dispersed. Make sure there are no obvious signs of damage or malfunction and check to see that the condensate pan is not overflowing or clogged.
If your air conditioner is otherwise functioning normally and there are no obvious signs of damage, you have two options. You can call an authorized service center for your particular make and model and request that they check your system for any signs of malfunction. If you are satisfied that there is no problem with the HVAC system itself, you can have your ducts cleaned. Over time mold and mildew can accumulate inside HVAC duct work and cause a number of odors and problems. Servicing your ducts every few years is a good idea and just might be all you need to rid yourself of the odor problem.