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Before turning on the heat for the first time of the Season:
Replace the air filter. 
Test detectors: Replace the batteries in your smoke alarms and carbon monoxide detectors. 
When you turn on the heat:
Expect a brief burning smell: A light burning smell is normal the first time the system runs but if the smell is strong and persists, turn the system off and call a professional. 
If a carbon monoxide alarm sounds, evacuate the building immediately and call 911.