Heard fellow exercising here (3)
I believe the answer is:
gym
'exercising here' is the definition.
(gymnasium)
'heard fellow' is the wordplay.
'heard' indicates a 'sounds like' (homophone) clue.
'fellow' becomes 'jim' (James).
'jim' sounds like 'GYM'.
(Other definitions for gym that I've seen before include "Sports facility" , "Physical education" , "Physical training facility, in short" , "Fitness club" , "Place to work out" .)