Welcome to the wonderful world of owning a lizard.
Monkeypants had some good advice. Stinky stools can mean health problems, due to poor diet, or parasites, etc. What exactly are you feeding him/her/it? Also, the cleanliness of the tank will definetaly affect how the room smells. In my tank I used a soil substrate, and usually my room just smells earthy. Pay attention to it’s stools. As yucky as it may sound, it will tell you a lot about the lizards current state of health.
My bearded dragon, on the other hand, definetally has a particular odour. For me, it was just one of those things that I had to get used to. It isn’t particularly foul, just very distinctivly lizard like.
Careful with putting them by an open window, especially during the winter months. Maintaing a constant tank temperature can be tough, and a constant cool draft can make it even harder. I f these little guys get cold, it increases their risk of getting sick.
Here is a book that if you don’t already have, it an absolute must get. It will answer many of the questions that you may still have. If you like, you can e-mail me as well. I have a male and female leopard gecko, as well as the aforementioned BEarded Dragon, and I also have taken care of snakes, skinks, and chinese water dragons.
Oh, and one more small word of advice. Never refer to the gecko as “your lizard”, i.e “I have to go home and feed/play/clean my lizard”. You will have people make comments, and yeah, that joke never got old, no matter home many times I heard it… 