There are so many factors that may be at play here.
How old is the unit?
Is it like the smell when a furnace turns on for the first time for the season?
Does it smell like a hot metal smell?
Do you have soot around the supply vents?
When was the last time you had your ducts cleaned?
Does the unit smell different at startup and change after running?(Not referring to the smell you are mentioning, I mean right at the unit.)