help me diagnose 2.0 crossflow problem!

my girlfriend just bought a 95 2.0 gti for next to nothing. the car needed a transmission and an exhaust is why she got it so cheap. i put a 2 litre 16v tranny in, and just got done putting on a TT exhaust for her. we went out and drove the car, and it runs absolutely perfect...but after about 20 min of driving the check engine light came on...but 5 min. later it went off. right as we got back home, the oil light comes on and starts beeping all kinds of loud. we parked the car and turned it off......popped the hood and there is plenty of oil...but it stinks under the hood almost as if something is burning. there is no exhaust leaks (that can be felt or heard). can somebody please point me in the right direction? thank you very much!