I think a pulmonary rehab program is essential before anybody starts an exercise regimen. If your doc hasn't discussed it with you, I think you should ask.
How it helps
Rehab techs will talk to you in a language that makes sense and they will get to know you.
After that, I do some simple hand weights (I use 5 pounders, but that's too much for most people. You can get 3-pounders at the Dollar store!)
That helps tighten my wrists and boost my strength in the shoulders and back. Stronger wrists really matter. It makes it easier to do lawn chores. Strong back and shoulders make less work for the chest muscles.
A treadmill or a bike -- do that 3 times a week, slow or moderate, and keep track of your progress. Get some great music for your phone or MP3 player ... and learn to breathe better.
Giving yourself a chance
You aren't trying to be a tougher person. You are giving yourself a chance. I really think a regular exercise program is a necessity. Work with a better diet and breathing.
If you join a fitness center and are over a certain age, ask about Silver Sneakers. I get this stuff for free! Plus, you can meet some interesting people -- and it'll make you feel younger.
Have you taken our COPD In America Survey yet?