Heat can be transferred from one object to another in 3 different ways.
1) Conduction : This is the mode of transfer of heat through solid medium. 
Example : A metal rod getting hot when hold over a flame. 
2) Convection : This is the mode of transfer of heat through liquids 
Example : Boiling of water. 
3) Radiation : This type of heat transfer does not require any medium. 
Example : When we stand close to a campfire, we feel warmer. Here the heat travels through air.
In the given problem, when a person gets into a car with hot black leather, his skin comes in contact with the hot object. Here the heat gets transferred through the skin which is a solid medium. 
Therefore this is an example of conduction.