Did you cure it yourself? Did you get it from someone who had it in their established tank and transport it to your house completely submerged?
If not, if it was bought and shipped to you moist but not submerged, or if it came from an LFS, then it's not cured, in spite of what anyone told you.
Vendors love to claim pre-cured, and it may be when it leaves their facility, but any time live rock is removed from the water for more than a few minutes, even if it's kept moist, there is going to be some die off and will need to be re-cured. LFSs get their rock the same way, moist but not submerged, and it usually doesn't sit in their systems long enough to completely cure before it sells, so even if they keep it submerged, it's likely still going to need to be re-cured.
No worries though. If all you have is live rock and water, your rock will cure right there in the tank, and will help complete your cycle for you. THe smell will eventually go away. Just watch your levels for the normal cycle process to complete and you should be good to go.