How to keep my house from smelling like smoke?

One of my neighbors has a wood burning thing for their heat (can't remember what it's called right now lol) and it makes our whole street smell like smoke. It constantly smells like I'm standing around a bonfire while I'm in my house. It's so strong, even when our doors and windows have been closed all day. At the beginning of the winter, I actually kept thinking something in my house was on fire and do a panick walk through of my house because I kept smelling the smoke and didn't realize our neighbor had a wood burner thing (we just moved here last year). So what can I do to stop smelling the smoke in my house? And I'm worried our stuff is going to start smelling like smoke too. Would an air purifier maybe help? Any advice would be so appreciated!