Sounds like your HV transformer is dead. Transformers burn up, literally, when they fail. That is probably the smoke smell.
A cap kit is definitely a good idea if the monitor has not had one, but clearly your first priority is making sure that HV transformer is the real issue. Without HV, you get zero monitor operation.
A very simplistic view of this:
The X/Y/Z wires send their voltages (comprised of moving electrons) to the tube where the electrons are accepted by the electron guns. The electron guns then shoot the electrons towards the inside of the picture tube where it hits a phosporescent screen and bounces back towards the back of the tube. Coating the inside of the back of the tube is a conductive coating that attracts the electrons and guides them to the anode cap, where they escape via the HV transformer circuit. Basically, once that HV transformer dies, the escape route is gone, your circuit is no longer complete, and your monitor cannot operate.
Someone please correct that if I'm incorrect or poorly articulated on anything.
If this is the real cause, you will need a new HV transformer and may as well slap a cap kit in there while you're doing it. Cap kits are always a good idea if the monitor has not had one or if you don't know if the monitor has had one.
Oh, and one other thing:
IF YOU DON'T KNOW WHERE THE ANODE CAP IS, DON'T STICK A PART OF YOUR BODY IN THERE AGAIN. AT LEAST LEARN WHERE THE DANGER IS BEFORE PROCEEDING.