My furnace a shit

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tl;dr - my furnace smells funny when I first turned it on, has anyone else encountered this?

LONG VERSION:

I bought this place not too long ago, so some things that I'm encountering are still at their "this is the first time I'm even doing this" point.

In this case, it's restarting the furnace. The weather dropped pretty cold here pretty fast, and I woke up to a house in the mid 60s, so I figure it's time to cover the AC and turn on he furnace. Switched the thermostat to heat, set the temp, done. Thermostat trips, furnace kicks on, and heat comes out the vent. Along with a faint burning smell. A smell I encountered once before with this furnace...

Once upon a time, I had to change the filter for my furnace, because I just got this place and I had no idea how old the filter was. I bought a standard filter (no super high-end 10th level uber filter) and triple checked that I had installed it in the proper direction. the filter would repeatedly get pulled down to a point that air could move around it until I added some supports. That was when the furnace would repeatedly turn on and off while not outputting any heat, and once I removed the filter, began functioning normally again, but with a faint burning smell when it initially began working again, and it continued to function fine for the rest of the winter.

The odd thing about it is the filter I pulled out was just another standard filter, and I had to replace it with one of those low end "good luck if I even remove dust" filters. It was functioning fine. I tried googling the model number of the furnace, but that didn't offer much for what I should be using as filters.

So there you have it. My furnace is probably stupid and needs to be looked at, but has anyone else encountered this? Is there any quick fix I can do to correct this, or is it time to just pick up the phone?