A burning smell...[I]not[/I] like sulphur

It smells like wiring/electrical/burning plastic; the bad kind of smell that immediately puts you on the alert.
The engine temp is normal and we just replaced the oil - it burns oil fast.

The car I'm talking about is a 1997 Continental with about 160,000 miles.
Also, we heard a strange rattling/grinding noise, very faint, a few days ago when we started the car. After that is when the smell started.

Could it be that I just forgot to shift into overdrive on the freeway?

I don't know if temperature could be a factor, but it has been in the 'teens to thirties for about two weeks here.

If there is a problem, could I still drive on 2 - 3 mile trips around town?

you say it smells like something burning....if you look under the hood do you see anything melted under the hood?.....theres alot of plastic under there...is this a smell you get all the time driving the car or only once in a while?
after you first noticed this smell is there anything on the car thats not working or not working correctly now?