There's three heat related illnesses that are emergencies and those include Heat Stroke, Heat Cramps and yes Heat Exhaustion.
All those heat related illnesses are emergencies and you either need to get to the emergency room or call 911 as heat related illnesses are serious and can be life threatening.
If you're becoming unconscious, Vomiting or Seizures, drop in blood pressure or seeing black spots or blacking out you need to seek medical attention as it can be life threatening.
If you're in doubt go ahead and call 911 as it's much better to have the ambulance come and check you out and not need it after all then not call and need them.
Some signs of heat exhaustion are confusion, Fainting, Dizziness, Dark Colored Urine, Muscle Cramps, Abdominal cramps, Fatigue and Nausea and Vomiting.