We have begun to smell a burning odor frequently with our VW. The temperature gauge does not show hot, but if the heater is on, the inside of the car just smells burny. If you don't have the heater on, when you step out of the car, you still smell the burny odor. Had it checked a while back and were told we ran over a grocery bag, but the odor continues.
Burning Odor on 2002 Volkswagen Passat
You still may have plastic stuck on the exhaust system so you may have to get under there and look. Pull off what you can and sooner or later, the odor should cease if all it was was a plastic bag.