If while you're studying you see a problem and think you have a novel way to solve it then go ask your professors for guidance and they can steer you in the right direction and hopefully get you started.At what point in your undergrad should you start applying for research programs and talking to your professor's about research opportunities?
Right at the beginning of your freshman year? After your first semester? Beginning of sophmore year...?
Surely someone in your department would be able to answer that better than us all out here?How exceptional is exceptional?