So anytime the heat is on, I can smell exhaust fumes in the cabin, seems like it may be coming through the vents. Doesnt happen with ac, or no heat on.

Also when turning the steering wheel, u hear a squeaking from inside the column.

X-type, 2002, 25k (yeah twenty five) miles.

thanks in advance friends!

In regards to to whinning steering wheel when turning, the same thing happened to me
it was a steering rack seal - I had it fixed under warranty, so I don't know the out of pocket cost

There is a post in the FAQ (check the Stickies) with regard to the steering wheel. You can get the seal replaced or you can do it for cheap with a special steering fluid.