For those people who aren't 10CS, and are actually interested in the answer, it's worth pointing out, firstly, that the word "proof" in "Where is the proof of that? I said proof, not studies. Where is the proof that air pollution has ever harmed anyone?" hasn't even been defined. This is deliberate, because it allows someone using it in this context to always move it further on than any given answer. Thus, it's a useful way to always "win" an argument, because it's setting an impossible standard.
We know that air pollution, in its many forms, is harmful in the same way that we know that smoking is a major cause of cancer. (Note that this isn't the same as saying that air pollution is *as* harmful, just that we are as certain that it is.) Nothing else need be said; indeed, it's also one of those occasions where plain old common sense would tell you that it must be so: for example, stick your head behind a car's exhaust pipe for ten minutes. These days this is much less harmful than it used to be, precisely because we took the health risks seriously and introduced catalytic convertors, but it's still not a good idea. Scale that up to a million or so cars running year-round in a large city, and you will still obviously have a health risk.