When exhaled air is blown through Lime Water which is also known as calcium hydroxide, the carbon dioxide present in the exhaled air reacts with the Lime water and turns it into a milky solution, since the the CO2 reacts with Ca(OH)2 and forms CaCO3 or Calcium Carbonate, which is insoluble and white in colour.
CaOH2 + CO2 -------> CaCO3 + H2O.