It's possible to get an infection called cellulitis after an entry point for bacteria from a small wound. (For example, I once got a big cellulitis infection on my arm after a bug bite.) Basically, it's an infection under the top layer of the skin. If that is what it is, the red skin around the original puncture will begin to get bigger. But don't give it a chance -- as CurfewX says, see a doctor and get on a course of antibiotics. The sooner you hit it, the faster it will heal. Mine was advanced enough that ten days of antibiotics didn't clear it, so they put me on ten more.
If you don't think it's cellulitis, especially if it seems like it's getting better, you might treat by taking some sitzbaths in warm water with a bit of white vinegar in the water. (A sitzbath is just sitting in warm water, it only needs to be deep enough to cover the area you are treating.) Vinegar is a natural antibiotic, and the warm water might open up the wound and allow it to wash out.
Odor is indicative of infection, and you need to see a doctor right away to get antibiotics. They can work on diagnosing the cause, but the primary concern is eliminating the infection.
It could be as simple as a pimple that got infected, or an ingrown hair that got infected, or a boil that got popped, but please do seek medical attention before the infection gets worse.