Exim is still under active development; the version of Exim included in Linux distributions is probably not the latest release. If you need a feature or a bugfix found in a later release, you have to obtain a copy of the source code and compile it yourself. The latest release can be found via Exim's web page at http://www.exim.org.
Linux is one of the many operating systems supported by the Exim source. To compile Exim for Linux, you should edit the src/EDITME file and put the result in a file called Local/Makefile. There are comments in src/EDITME that tell you what the various settings are used for. Then run make. See the Exim manual for detailed information on building Exim from source.