It might just be all of the foreign stuff burning off... from handling it and such.
Or if its like exhaust... its possible you didn't connect something properly and have an exhaust leak. If its an rotten egg smell... then your catalytic converter is bad (coincidental... not at all related to your install)
How many miles have you driven it since you installed it?
Hot metal, especially new metal, stinks pretty bad. The more stainless that you have in your system, the more it will stink. Give it a few hundred miles (or heat it up really good a few times) and it will go away.