All smells coming in

I have a 2002 Windstar LX with approx 102000 kms on in. Heat and air work fine. Within the last month however I have noticed that outside smells ie(exhuast from trucks in front of me etc..) have begun to get inside my van. No smell when I shut the heat off. Is there a filter or something that might need replacing that is supposed to prevent outside smells from getting in? It did not do this before and is kind of annoying at times. The filter on the motor was replaced (the one in that round tube like thing) about a month ago when the oil was changed. Any suggestions would be much appreciated as I would rather purchase a filter and change it myself then go to ford and pay them big bucks for nothing. Thanks again.

It would be called a "cabin filter".
I do not have one on my '96, but I think that they had it either standard or optional by your year.
Of course, I don't know how to change it.....but I would also, while changing / inspecting, look to make sure that things associated with it are properly seated......and sealed as they should be.
A loose cover could permit air to leak in from that location.....and whatever smells are present at that location will come in with it.

The filter is located on the left side of the cowl under a black plastic cover that snaps off. You might want to check it to make sure it is seated properly.

I have noticed that a lot of the oil change places check it to try to sell you another filter. They almost always do not reintall the thing correctly.

Also make sure you do not disconnect the washer fluid line that goes right through that area. Everytime someone checks my cabin filter, they end up pulling on that and it disconnects.