Burning smell when turned on

Does the smell keep up all the time?

No it only lasts about 2 or 3 minites

If this is the first few times you have used the furnace the smell could be normal since dirt and dust accumulate on the heat exchanger during periods of nonuse. If the unit has some age on it now may be the time to have a CO check. If you start to feel dizzy look up CO on Google for the early signs of Carbon Monoxide poisoning and if you have any feeling at all about this have your furnace checked.