I need a car expert?

Ok, Ive had a knocking noise coming from my car for a little while now....it is definetely coming from one of the front tires. when I got home the other day, my front left caliper was smoking and the rotor was red hot. so, i figured it was the rotor, because the noise would stop coming from my car once I hit the brakes. I figured the caliper was not opening and just grinding against the rotor which made it smoke. So, I bought a new caliper, my dad bled the brakes and put it on. now, the noise is still there, and the brakes will not work. there is plenty of brake fluid in there, and no leaks in the brake line. im thinking it might just be air in the brake lines but i dont know....also the service engine soon light is on. Now, Im thinking it might be the caliper on the other side. maybe that caliper is not opening, and the left one was having to work twice as hard to stop the car, causing it to smoke (and smell). my car is a 99 V6 Mustang. Someone please help!!!