In survival analysis, exposure that appears or changes during the follow-up of subjects must be taken into account as a time-dependent covariate in the Cox proportional hazards model. Two types of time-dependent covariates are defined: covariates with unique change, and covariates with multiple changes. The way of taking into account such changes in the exposure is presented in theory and illustrated from a small sample of 5 subjects enrolled in a French HIV cohort. The problems raised by missing data as well as alternative but more sophisticated solutions are also evocated. Annexes include programs for SAS software, and results from the "Log" and "Results" windows.