2002 Mazda Protege Smoking

I own a 2002 Mazda Protege with 4 cylinder DOHC 2.0L engine. For the last 6 mos since the winter when the car starts it smokes alot in the beginning from the tail pipe for 10 mins or so. My mechanic told me its not an exhaust problem and the car burns oil. How do you repair this problem and why does engine burn the oil to point I have to replace it every 4 days? It doesn't smoke as much as the weather and temperatures get warmer and more humid. Thanks.