When I drive my car the first few miles, I smell exhaust inside the car with the windows rolled up. It happens when I have either the AC or the heat/air on...
What's going on?
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Exhaust inside a car is bad. It can come in through your vents, through the floor, or through the firewall. No matter where it's coming from, you should get it fixed because you can pass out from carbon monoxide, and if the engine keeps running after the crash it could kill you.
It probably won't take too much to fix -- the hard part is finding the air leak. You smell it when you start the car because your exhaust smells more then, and because the wind isn't pushing the exhaust back like it does when you're moving.
Basically you have an exhaust leak, it's dangerous (to you in the form of carbon monoxide) and should not be ignored. An easy way to check for the leak is to pull a vacuum line off the intake and suck a small amount (1 - 2oz) of transmission fluid into the intake via that vacuum line. Make sure the vehicle is outside, because it's going to smoke a lot. The smoke will lead you right to the leak.
The exhaust should exit only out of the tail pipe, far away from the fresh air intake and the interior of the car.
xpda has a very good answer. I would augment it with an additional caution: carbon monoxide effects are cumulative, they don't go away very quickly once you are in fresh air... So driving short periods while exposed to CO, with breaks in between, may still be enough to cause problems.
One common cause of exhaust in the cabin that xpda didn't mention is leaks in the exhaust at the engine or in the headers.