Some smoke and burning smell from exhaust 2000A6 in cold weather

I have been following this group for about an year and it is a great help site. I have a 2000 Audi A6. I got this last year. The car works
great with regular typical maintenance. The temperature around here has dropped and it is about zero Fahrenheit in the morning. This is Yesterday, the cars exhaust (especially the drivers side of the dual exhaust system) gave some smoke along with the regular steam that you would see due to the cold weather. It was still there even after driving for about 3 miles. I could smell something oily or rubbery in the smoke. I checked all the oil levels. They were fine. I took it to a car care center about 4 miles at a low speed and had a friend follow me. The smoke became less as compared to when I started. The mechanic said everything looks fine. He said that it is not uncommon to see some smoke in winters and it will go away. I had gotten an oil change as it was going to be due in few days. I change it at about 5000 miles though the computer says 8000 miles. During the oil change he checked for coolant and any other leaks and he could not detect anything. The car dash board also does not display anything. I still could smell something very less but no smoke from the exhaust this morning. This is my and my car's first winter at such low temperatures. Could you please throw some light.
And does Audi 2000 A6 provide heated air near the feet. It is always cold at the floor.
Many thanks in advance.
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