Smell is not waves in the same sense as sight (electromagnetic waves) or hearing (sound waves). Smell is the diffusion of various molecules in air that makes its way into receptors in the nose. Each receptor is a protein complex that binds one or more specific molecules, which differ from receptor to receptor. The molecules in question are mixed with incoming air molecules in the vicinity of your nose, individual molecules in the gas phase or aerosols & suspensions of very small clumps of molecules (such as smoke). There are hundreds of unique olfactory receptors in the noses.
Here’s the exact mechanism, courtesy of the ever-dependable Wikipedia:
Rather than binding specific ligands like most receptors, olfactory receptors display affinity for a range of odor molecules, and conversely a single odorant molecule may bind to a number of olfactory receptors with varying affinities.Once the odorant has bound to the odor receptor, the receptor undergoes structural changes and it binds and activates the olfactory-type G protein on the inside of the olfactory receptor neuron. The G protein (Golf and/or Gs) in turn activates the lyase – adenylate cyclase – which converts ATP into cyclic AMP (cAMP). The cAMP opens cyclic nucleotide-gated ion channels which allow calcium and sodium ions to enter into the cell, depolarizing the olfactory receptor neuron and beginning an action potential which carries the information to the brain.
I would add that the gypsy moth—to name one creature with an exquisite sense of smell—has been shown to be able to detect individual pheromone molecules with its feathery antennae, allowing it to fly up the concentration gradient to mate with its source.