A new exhaust after 40K? Diesel exhausts usually last longer than that! The smoke problem almost sounds like the EGR valve sticking but I would have expected the engine management light to have come in at some point (and gone out again) and there would be a fault code for it. Or perhaps it's mucky injectors which could be fixed with a dose of proper (that means 'expensive') diesel additive, but the Millers and Wynns and Diesel Rhino will clean stuff out of the tank and pipes as well, and you may well have to fit a new fuel filter (which would be no bad thing). There have been a couple of discussions on this forum about adding a 200:1 shot of two-stroke oil when filling up, and many articles on the Internet about it. It seems that the fuel is missing something since they've taken the sulphur out of it and many people have said that the addition of a shot of 2-T reduces smoking and helps pass the MOT emission test. If there's a Morrisons near you, they sell the cheapest 2-T oil at £2 for a 500ml bottle = £4 per litre and the next cheapest is Asda at £5 for a litre bottle. Works for me.

Moved to Technical.