I notice a burning smell after driving, coming from the right side rear brake. Car is a 98 civic.

I've been getting about 20-22 MPG on light driving.

I googled and someone said the brake cylinder is locked or something? any ideas?

 

Jack up the rear of the car and then check whether the rear wheels spin relatively freely or are difficult to turn. If the latter is true, then the rear brakes are probably locked up as you say. The problem would likely be with the e-brake.