Agreed that the doctor telling you to exercise, at this point, is unhelpful and kind of a stupid thing to say. And I don't think exercise would solve your problem. Not exercising is a risk factor for all sorts of other problems later in life, especially if it's in combination with a not-very-healthy diet...but that's a reason to look for solutions to your lung problem, not a reason for doctors to tell you that exercising will solve your lung problem.