What can I do to keep my hair from smelling burnt after I straighten it?

I just bought a Chi Air flat iron about a week ago. I have really thick curly hair that frizzes bad and the Chi works wonders on it. It leaves my hair soft and smooth. But today when I was showering I noticed my hair smelled badly burnt. I didn't notice the smell until I got my hair wet. I use a heat protecting spray from John Frieda which I spray right before I straighten it. I also use a serum (can't remember the brand) after I straighten it and I go over it once more to look in the serum. I don't know if that's what is causing the smell. Also I dyed my hair the same day I bought the flat iron. I was wondering if the smell is from the dye. So anyone have a clue?