It could also be that you have a leak somewhere in your tranny, and as you drive its getting blown back onto the exhaust. I've experienced that before. The leak could be around the pan (obviously visable and easy to fix) or from one of the seals, not as visable and not as easy to fix.
Look under the car when you stop and smell the burning odor and look for smoking fluid off an exhaust piece.
1996 Taurus LX 24V
1989 Nissan Maxima SE 5 speed