I feel I must jump in here and comment.
Some of the comments may seem harsh, but to me it is the only way forward.
The supply is a usb port.
OK, but you seem to have very little idea of what you are doing.
Is it sensible to use a USB output to provide power for a learning experiment.
Better to use a $5 battery that a $500 computer when you have no idea what you are doing.
I used my multimeter to test for voltage and current like in the diagram except no components attached.
So if there were no components attached, it was not like the diagram! Was it?
Did you connect your meter, set to measure current, across the USB power pins?
I sincerely hope not.
I'm detecting 4.9 v across led somehow.
Presumably you are measuring it with the meter.
Is the LED and the resistor wired in series to the USB power, or are you just connecting the LED without the resistor?
I can smell burning and it's like a bright orange colour.
What is burning, the USB port, the internals of the computer?
What is like a bright orange colour, the LED, the computer, the USB port?
You really must give more precise descriptions if you want some correctly focussed help, we can't see what is in front of you.
JimB