DIAGNOSIS This is common. The odor comes from residual manufacturing oils on the heating element and internal metal surfaces burning off during initial heating cycles.
FIX Run the fryer empty at 400°F for 20-30 minutes. Do this 1-2 times in a well-ventilated kitchen. The smell should diminish significantly after the first cycle and disappear completely after a few uses.
IF THAT DIDN'T WORK Inspect the removable basket and tray for any plastic shipping film or protective stickers you may have missed. Remove them completely before use.
HEADS UP A strong, continuous burning smell after the initial break-in periods could indicate a foreign object or excessive grease in the heating chamber. Unplug and inspect.