If the car has a mechanical problem, call the rental company's roadside assistance immediately. These customer-service hotlines can help you in there's an accident, a mechanical failure or a flat tire. The phone operator will often provide you with a help-ticket number and a synopsis of the next steps in the process.
If the vehicle is drivable, the roadside assistance line will contact the nearest branch of the rental agency and reserve a car for you there. Drive to the agency as soon as possible and speak with an employee. Do not tell them you are returning the car, because that will close your account. Let them know you need to exchange the vehicle, give them your help-ticket number if available, and detail the problems with the car.
If the car is not drivable, the roadside-assistance operator should let you know when help will arrive at your location. In many cases, the nearest rental agency branch will send an employee to pick you up at the site, take you to the office and give you a replacement car.
If your problem is a matter of preference, try to perform the exchange as soon as possible. If the car is a make or model that you dislike, let the rental agent know that before your paperwork has been completed. Exchanges are much simpler before leaving the car lot.
If you have driven the car for a while and dislike it, call the customer-service number on your rental agreement and tell the agents there what the issue is. The customer-service agents might be able to reserve a car for you at the nearest branch.
Return the car to the nearest branch, and let the employees know you are doing an exchange. As with your first car, review the condition and whether or not the replacement vehicle suits your needs.