Thanks guys, I feel better now knowing some of you had the same thing happen and that it will go away. The coolant I added is Dex-cool compatible 50/50 just as the manual states. I still wonder what is burning to cause the stink. I think it's something either inside the exhaust or possible on the outside rubbing on the hot pipes. I noticed the muffler had a sticker left on it and I peeled most of it off but still had the smell.
I never got the smell at all until I flipped on the fan so I don't think it's the exhaust. It appeared to come from the engine compartment to me.