As was already said...the burnt smell is your primary concern at this point. If you know which component was the cause, great! If not, I would remount the heatsink and cpu to the mobo. It may be something else, but in order to prevent any further damage(or possible damge) to the system, I'd reseat them with fresh TIM(AS5) and retry. At that point, see if you can isolate which component is causing the burnt smell if it happens again but do so quickly and shut that thing down.
Check the capacitors for swelling or actual leakage. If you find either, just replace the mobo unless you know how to solder electronic components.