How often do you change your transmission oil?
Automatic transmission fluid - see your owners manual - it varies depending of vehicle, and type of use. For automatic transmission fluid, if it has a slightly burnt smell (like toast); change fluid and filter immediately. Manual transmission - 100K miles or so.
If you buy a used car with more than 50k miles you should change it and get the box flushed through, should cost around $100-150 but will be worth it. For a new or newer car follow the handbook (or check with the manufacturer's website online)
Most manufacturers recomend changing your transmission fluid every 30.000 miles but that varies by make and model check your owners manual it should say it in there check the service manual part of it Good luck.