Likewise, I have a burning plastic/wax smell coming from the MPV, I've had it for about a month. I also found the nearly-unrecognizable remains of a plastic grocery bag melted all over the catalytic converter. I scraped off what I could, but it's been burning the rest off for weeks!
Here are a few steps to try, that will help you isolate where the problem may be coming from:
Do you smell it immediately when you start the car, or does it take a while? If it's a mechanical problem, as in something rubbing, you
might smell it right away. If it takes a while to stink, then it's something that heats up over time, such as exhaust.
Does it stink if you and let it sit and run it? If so, you can rule out rolling parts, such as brakes and wheel bearings. If it
only stinks when you drive around, you can probably stop searching the exhaust and engine bay.
Have you done any recent electrical work? Any new stereo bits, etc.?
Just a few ideas.
Good luck. Weird smells are always unnerving.
Edit: Just read this:
it smells strongest on the sides of the car.
I'd take a long, hard look at the exhaust system, especially the catalytic converter, and see if there's anything stuck to that. The cat gets
very hot, so it's easy to melt things onto, also, it's about mid-car, so the "location" of the smell is about right.