BMW Repair: Exhaust Smell, exhaust leaks, oxygen sensor

Question
I have a 1995 320i, it has been to BMW for repair as well as to it's regular BMW mechanic to find the source of this problem.  When the windows are open (only then), or the sunroof is open the car smells of exhaust.  There is no exhaust leaks and emissions is ok, no check codes on the engine ... BMW told me to check the cars next to me, but I can guarantee it happens every time the window is open.  The mechanic just changed the oxygen sensor.  Any ideas?

Answer
Chantal,
 I've never really encountered this problem with BMW's, but I know that other types of vehicles can get exhaust pulled in around the trunk or by the tail lights.  So I would check your tail light seals, and trunk seals.  If they are leaking, then chances are the exhaust is getting pulled in from behind the car.  A vacuum forms behind the car and fumes can be sucked in as the car is going down the road.  
 Also next time you notice this smell, turn the vents off, close all of them, and see if you still smell it (maybe let the car clear out first).  It's possible that the fumes are coming from under the hood, and then being pulled in through the vents infront of the windshield.

 Hope this helps,
 Josh