The answer to 'what does heat exchanger do' is that a heat exchanger is a critical component in HVAC systems that transfers heat from one medium to another. In a furnace, the heat exchanger transfers heat from the combustion process to the air that is then circulated through your home. This allows the heat to be distributed efficiently without mixing the combustion byproducts with the air you breathe.
The heat exchanger is made of a series of metal coils or tubes that are heated on one side by the combustion process. As air is pulled across the other side of the heat exchanger, it absorbs the heat and is then distributed through your ductwork and into your living spaces. This process allows the HVAC system to heat your home without exposing you to the byproducts of combustion.