At first our heating unit would not turn on... We would hear it click but nothing would blow out of it. We tried to turn on the air and that would not come on as well. When my husband got home from work he went up in the attic. He said the furnace was real dirty so he clean it off a little bit and put it back on. At that point the heat came back on. However, it would not turn off. Do we need to change the filter... Also it was a bad smell (like a burning smell when he turned it back on). Any suggestions?

You may have a blower relay sticking and going bad. Its hard to say not knowing the make and model of the system in question.