Do you know what brand and model of vape pen it is? Where did you get this? Was it from a store near you? If so, I'm surprised no one set it up for you.
If you're getting a burnt smell when you press the power button, chances are good that you fried your coil and wick in your tank. Do you have juice in your tank? If so, is the channel open so that the juice can get to your heating coil? Either way, you'll want to change out your coil (if possible), because the burnt taste will not come out.