First things first: check the address you gave the exchange. Make sure it matches your wallet’s receiving address (the option to see your receiving addresses is in the wallet’s File menu).
Assuming they match, you can check on the blockchain explorer to see if the coins are in the receiving address.
If the explorer says your coins are in your receiving address, make sure your wallet is fully synched.
If the explorer says your coins are not in your receiving address, check your email for a confirmation message.
If you did confirm and your coins aren’t in your receiving address (on the explorer), that’s an exchange issue. File a support ticket with them.