Look in the maintenance section, there is a many page discussion on this. The problem seal is on the passenger side axle, it is a double seal. Both axle and PTU, that is why the red vs brown described above. You need to get under the car and look at the passenger side axle where it exits. It is right above the exhaust pipe, that is why the burning smell, it drips onto the hot exhaust and smells bad.
It will not get better if yours is leaking. It is worse in cold temps and after longer high speed drives and coming to a stop. Look in the maintenance section discussion and you will learn all about it in detail.
Here, I looked it up for you, click on this thread, 36 pages of information:
http://www.fordedgeforum.com/index.php?/topic/1654-burning-smell/page__st__700