I would be reluctant to encourage you to test it on another PC. By the sounds of it, if it smells like it is burnt, its probably through the fault of the PSU - which is junk!! GPU's don't generally tend to burn out by themselves. It is worth being cautious if you are going to test the GPU, as any damage that has been done, may cause problems on the other machine. You need to throw that PSU as far as you can, then run away in the opposite direction!
Once you have determined that the GPU is safe to use, or you have a new one, invest in a good quality PSU. Search for the PSU tier on tom's for an idea of what to aim for - your budget depending, of course.