bjornbjorn--
If you've got a place to do it, do it yourself. You can get any trans filter at your local AutoZone/OReilly's/Advance/NAPA/etc for ~10 bucks and 8 quarts of trans fluid for $25 at Wally World. Just make sure the filter comes with a gasket.
Pull the 15 or so bolts off the old filter, pull that guy out, clean out the pan (especially the little magnet that catches all the metal shavings), replace, refill with 8 quarts of trans fluid, and you're good to go. Cost out the door is $40, max $50 if you get the good stuff.
Every 50,000 miles (80,000km) is a good rule of thumb, but divide that in half if your car runs hot (over 200*). Anything above 200 or so and the trans fluid breaks down, giving you that burnt smell.
