I know that car exhaust is almost entirely nitrogen, water and carbon dioxide. How would I go about removing the water? Would I have to condense it off? Any devices already exist for doing so?
Certainly devices exist to remove water vapour from gas streams. Many labs pass their nitrogen stream through a conc. sulfuric acid bubbler to ensure it is dry. Solid absorbents such as silica gel or Drierite can also be used. The question is what volume of exhaust gas do you want to dry? These absorbents need to be changed frequently to maintain the dryness of the gas stream. If you want to keep a lot of exhaust dry you'll need a lot of drying agent.