front brake rubbing?

I was driving my XJ yesterday and smelled my brakes burning. I stopped and found my front right brake smoking. I wasnt using my brakes much at all. I am guessing the calaper was keeping pressure on the brake as I drove. I am gonig to pull it apart tonight and look at it. I was just wanting to know if any one else has had this happen and what could cause this? The other side seemed fine.

Didn't happen to me, but to my buddy. He was headed to the Cape when he was pulled over by a passing car, didn't even smell it in the car. Got it towed and it ended up costing him a small fortune (holiday weekend) and the shop replaced everything on that side(pass), rotor was blued, hub bearing's were too, he even replaced the rim(stock steelie, paint melted off). Guy at shop told him that there was evidence of a flame up under fenderwell. BTW, he drives a 89 4.0 auto, stock for the most part.