Pull the PSU out of the system, and sniff it, if something in it blew you will know. Do not attempt to boot up the system on a potentially bad PSU. You can use this trick to test to see if its totally cooked. If it cant spin up the case fan its totally dead, if it does that doesnt necessarily mean its good, it may be out of spec or some of the other rails may be non-functional. http://www.youtube.com/watch?v=5FWXgQSokF4
Woah, yeah definitely RMA it. There shouldnt be any problem on getting a replacement for it.
Its a hard smell to describe, but terrible sums it up pretty good. There are a few things that can make the smell, a burnt IC, a blow capacitor, some melted insulation, all of them are bad and smell terrible. Send corsair an RMA request.