DIAGNOSIS You're likely smelling overheated plastic from a foreign object inside the cavity or a packaging tag left on the unit. It's not the microwave itself burning.
FIX Immediately unplug it. Do a thorough visual inspection inside the cavity and on the waveguide cover (the mica plate on the right wall). Look for melted plastic wrap, a twist-tie, a sticker, or any small object.
IF THAT DIDN'T WORK If the cavity is clear, the smell could be coming from the vent system if it's new. Run it on high for 2 minutes with a bowl of water and lemon slices to clear manufacturing residues. Ensure nothing plastic is on the exterior vent slots.
HEADS UP Never run it empty. If the burning smell persists after cleaning, stop using it—it could indicate a serious electrical fault requiring service.