2002 Saturn Vue Engine smells like its burning

Back in December to January the check engine light would go on and I took it to my mechanic and he plugged a machine in under the steering wheel and it told him there were no problems. On January 4th, my car was brocken into, the passenger window smashed and my wallet and purse were stolen. Got the window fixed the next day and the engine light came on again. I haven't been back to the mechanic yet, but the light went away on its own with no break down. The light has not been on in about a month, I have gotten the oil changed on time. Since I have had the car, which I purchased in 2008, July, been changed-6 times.