I was driving today and started smelling something burning then starting seeing smoke coming from my steering column on the left side where the headlights/signal lever is. Later on in the evening, i noticed my headlights weren't working...???? '03 Neon SXT

Please and Thanks.

 

One of the connectors in there has been known to fry a bit. Will probably need a new multifunction switch. You'll have to pull the column apart to see for sure.

 

I read the wiring too as well might need some changing? are these two something i can do myself? wiring harness....what are these parts called? thnx

 

If the wiring got fried too, then yes, it'll need to be changed.
How good are you with wiring and repair? If the wiring within the harness is bad, you can just change the harness provided you can get a new one.
A wiring harness is a bundle of wires that are bound together, usually on the ends with a connector.

Nothing fancy, but it gets the point across:

 

Just be careful!!! Some people who let this problem go end up with a front end fire.