Yeah, the obvious thing to do - which should have been the first thing suggested, frankly - is get a temperature monitor, such as CPU-Z, and check what temperature the various parts of your PC are when this is happening. Anything over 75 degrees celcius or so at max load, and you might potentially have a problem (though it should only actually be a problem at 85+, you might want to see if you can improve cooling anyway if it's going over 75 - high heat isn't good for it).
If the temperature seems fine, then yeah - it's probably absolutely fine. The fan probably just sounds like that when it's spinning quickly anyway, or maybe the metal in the computer has contracted and the fan is starting to vibrate against something (my PC does that - when I first start it up it makes a horrible loud whirring noise because the fan is touching something, then when it warms up and everything contracts, the fan is no longer touching, so it quiets down). Either way, it's probably nothing to worry about.
If the smell is from dust burning, then it would probably also be a good idea to open up your PC and clean it out a bit. If it's reached the point where the smell is noticeable, then a good clean is probably long overdue.
