Run the Miller oil furnace for a moment to see if the smell dissipates. If the furnace has not been used in some time, built-up dust in the combustion chamber can sometimes burn off when the furnace is turned on for the first time. Run the furnace for a few minutes to see if the smell goes away.
Replace the filters in your Miller oil furnace system if the burning smell does not go away. Air filters that have not been replaced in some time and that have become saturated with dirt, dust and other items can impart a burning or dusty smell to heated air as it moves through the furnace's duct work. Check to see if the smell goes away after replacing your furnace's air filters.
Contact a repair professional. If the furnace is damaged, it could be leaking odorous combustion byproducts and odorless carbon monoxide, a potentially fatal gas. You need to have the furnace inspected and repaired by a Miller product support specialist once authorities declare that there is no carbon monoxide danger in the home.