Modern Diesel cars come with a lot of tricks to either boost the car performance or suppress the car emissions to meet the norms. There is the turbo for example which simply increases the amount of air inside the engine by compressing it, and thus increasing performance. But there is also the dust particle filter (DPF) which filters the exhaust gases which results in lower exhaust dust particles and the exhaust gas recirculation (EGR) technique which reduces nitrogen oxide emissions. However, there is a few concerns about using the latter, and since every new diesel car comes with such exhaust filter it is best to inform you what consequences it will bring before acquiring a new car.
For starters there is the exhaust gas recirculation (EGR) technique which is used to reduce NOx emissions. The system works as following:
In any normal turbo driven engine the intake air is being compressed by a turbo lader. The compressed air is optionally being cooled by an intercooler and then used inside the engine to burn fuel and make the engine run. The exhaust gases (that are being created by combustion of fuel and air) leave the engine block through the exhaust manifold where afterwards it will be lead back to the turbo lader. This will bring the turbo lader to a spin and so the intake compressor wheel of the turbo is also being moved which will result in compressed air, more air inside the engine and thus higher performance. In the end the heated exhaust gases will flow through the exhaust pipe back out of the car.
With the EGR technique, the exhaust gases will be used again, not only to drive the turbo but also as intake air. Notice in the picture above how in between the turbo lader and engine block (exhaust manofild) the hot (red) air is also flowing back inside a EGR cooling pipe (notice the recirculation gas tag) and then back to the engine. The reason this is being done is because the engine produces quite some nitrogen oxide (NOx). Bringing the low oxygen exhaust gases back to the car reduces the combustion temperature which on its turn reduces NOx (and also a little bit of performance) because NOx is created at higher temperatures.
From a environmental point of view, this is a good thing, since now a lot less NOx is left, however the technique has some mayor drawbacks and for diesel engines this also led to a higher need for a dust particle filter. Aside of lowering NOx emissions, EGR also lowers the combustion efficiency leaving more fuel not to burn, and creating more carbon and particle matter. Because of the extra carbon emission, a DPF comes to help.
The dust particle filter itself is not so different from any other filters: it catches the particle matter from leaving the car. The pressure sensor notices when the filter get clogged up, once a certain target percentage of pressure loss is met the car will regenerate the DPF by burning the clogged up carbon that is left inside the DPF, effectively cleaning it again. One of the reasons why diesel engine or not fitted for small trips is because the DPF never gets the chance to properly clean itself because regeneration sometimes takes up to 15 minutes, and only starts when the exhaust gas has reached a certain temperature.
The DPF should not be mistaken by the intake air filter which is positioned in front of the car, and looks like this:
The DPF looks more like the following picture and is positioned beneath the car, nearer to the exhaust pipe:
Some helpful information can be found for example in this small article: http://www.theaa.com/motoring_advice/fuels-and-environment/diesel-particulate-filters.html