My furnace smells like something is burning. Any Ideas?

I would suggest that perhaps your filter needs to be replaced. I know my furnace occasionally smells like burning dust - because the filter is dirty or the vents need to be cleaned out. Especially at the start of fall when the furnace hasn't been running all summer. Get your ducts cleaned out and see if that helps. And as far as the carbon monoxide goes....you can't smell it, and you can go to any hardware store and purchase a detector.