If your going to be welding on exhaust systems and you have no practical experience in doing so, you had better be looking at a mig-welding machine. Yes you can weld a exhaust pipe with a arc/smaw machine but if you have little to no experience in doing so then you have your work cut out for...
I've heard of propane and oxygen for a cutting/ heating setup, and gas welding but the inert shielding needed to keep atmosphere from contaminating the weld pool has to remain neutral