The smell you're complaining about is called Cosmoline. It is sprayed on the underside of the car when it leaves the factory to protect the underside from corrosion during transit. It burns off eventually usually within the first few thousand miles. Do a search on 'Cosmoline' and read some of the past threads on the subject. There are also some threads on how to clean it off, especially inside the wheels.
Bottom line is that it's totally normal and nothing to worry about. The best way to be rid of it is to go out and drive.
