We have no selective mechanism to inhale only oxygen. In the terminal region of lungs, the alveoli, an exchange of gases takes place. The Haemoglobin in RBCs has more affinity for this oxygen present(Due to the iron contained in the Haemoglobin) than other gases in the inhaled air and it is immediately absorbed. The remaining gases are inert (with respect to the blood's constituents) which are sent out during exhalation. Carbon monoxide has more affinity than oxygen . Thats the reason why its dangerous to smoke CO. It can even lead to death.