look deep on this one. Check brake lines, ABS, trac control and wheel speed sensors. Make sure the heat didn't transfer and pop your hub seal, ball joints and anything else rubber in the area.
I had this happen on my SSEi in April of 2002. The pads wore down to metal, friction heated up the axle shaft. The hub grease boiled and blew the seal. The brake line melted and then caught fire.
We ended up replacing everything from the pads, caliper, rotor, lines, sensor, half shalf, hub/bearing assembly.
I have seen this happen when a caliper sticks. Very common cause is poor technique by a mechanic. Rather than hang a caliper properly, they let it dangle by the brake line. This can crimp a brake line and make the return harder for the fluid, thus the caliper stays in the closed postion keeping the pads against the rotors. Hence a major increase in friction and heat. I have also seen this same scenario occur when a mechanic clamps off a brake line with a pair of vise grips to save time.
good luck.
steviej