Thanks for the feedback. We also bought this one in Dec 05 and it had 33 miles. It just hit 1000 miles and the smell is still there, although not as strong as it was earlier. When we first took it home the smell was so strong it was very noticable even in the house with the door closed. The dealer has power washed the engine multiple times, changed a heat shield they said was saturated with cosmoline, and changed the cabin air filter twice. Supposedly the burning smell will eventually go away.
The '06 RX 330 is actually my wife's car. I have a 2005 GX 470 that I bought new a year ago and it never had this problem, nor did a 2004 RX 330 that my sister in law has. I was just curious if this issue with my wife's new RX was an isolated problem or if others have experienced it as well.