What could cause my Hyundai XG350 to have a burning smell? It is the smell you get immediately after firecrackers has gone off.

Usually smells like that are associated with the catalytic converter. It may be on it's way out or the fuel mixture is wrong. Get the codes read at the parts store.

Put the engine cover back on if you took it off, unless the hood is super hot, then don't do that. I have the 02' XG350 L and even after driving at highway & freeway speeds for hours on end the hood is always cool if not cold. You may need fresh coolant (Ethylene Glycol based of course, Asian Blend), a new engine air filter, a new Catalytic Converter or and an entirely new exhaust system, an oil & filter change, a new thermostat, a new MAF, a new PCSV or PCV or EGR, to clean out or replace your radiator, a new oil cooler (mine has one at least, not sure about yours), or to make sure that all of your grounds are in perfect working order. Or a new enging cooling fan. It could be anything. Find a mechanic that you trust, that has experience with Hyundai or Asian cars at least, and have that person find & fix the problem. You'll go poor replacing things trying to solve it. Sometimes. Seek professional assistance though. Most likely it's your air filter that's clogged up, a bad MAF, Catalytic Converter, or coolant may be producing a mild charge causing your ecu or other systems & sensors to fail or malfunction. Again, go to a mechanic. I just figured out where a bad noise is coming from and it's been months & $ in finding out that it's a bad Input Shaft Bearing on my tranny. Great cars though! Pretty damn fast for a bigger luxury car, comfortable, pretty, rare-ish, well made, affordable parts, easy to maintain, and we're part of limited # of people who own these great cars. Good luck with your hunt for the problem. Replace everything I mentioned if you have the $ to spare. The car will love you for it! Peace, and go see a mechanic!