of course there's a way. I have plans to do the same thing. In my basement i have the floor beams of the first floor exposed where i can see the subflooring of the first floor. I also have well windows in the basement that are about 18" x 30". I'm going to drywall the ceiling and walls and when i tape and mud the seams, the room will be "air tight" meaning that the smoke will have nowhere to go but either out the door or the window. In one of those windows i'm gonig to install a filtered vent. The vent will draw air, or cigar smoke out and the filter will keep it from actually taking the air our and makeing it cold in the winter. The filtered vent will actually be some sort of smoke eater. They can be had for a few hundered bucks. I havent' done real thorough research on them yet, but i know from talking to people they do exist and they dont' cost 1000's of dollars.
I expect my whole project to coast around $2K +/- $500 and i'll have a room about 12 x 15 complete with flat screen TV and recliners and seating for up to 6 people. 4 people would be ideal, but 6 could fit. i've got a full size beer fridge in the basement already, so it will be right outside the smoking room.
Fortunately for me, my wife enjoys smoknig the occassional cigarette, but she hates the way the house smells for a few hours after we smoke one in the basement, so a room design for smoking is ideal for both of us.
I plan to start my in the Spirng sometime.
As for your father-in-law...he'lll never be on your side. He'll swear he smells smoke before you ever build the room.