Perhaps if you drive around for a bit to get the smell, then pull up, lift the bonnet (with the engine still running) and see if you can spot anything suspicious.
If there is something spilt onto your exhaust you MAY get a little bit of smoke off it. If your battery is boiling you WILL see that, boiling sulphuric acid gives off thick white smoke. Safety: try not to breathe in the fumes of whatever you find, it is probably not that healthy.
Plastic bag? Years ago my driving instructor taught me that if a plastic bag gets melted on to your exhaust then it smells very bad (and is probably toxic). So look under with a torch and see if you can see any remnants of a carrier bag along the length of your exhaust.