Brakes / Rotors Help

I have a quick question. Today I changed my brake pads and rotors and now after driving the car for a little while, smoke and and burnt oil smell seems to be comming from one of the wheels (front left). I noticed the rotos are packed with oil on them could this be normal during burn-off? Somehow though I doubt it since its only happening on one wheel. Could this be a stuck caliaper? The odd thing is I dont seem to feel any "odd" sensations while dribing the car. What do you guys think?

Thanks for your input,
Blu