First and most important is to see your doctor and talk about all of your symptoms, when they happen, how bad they are, etc. If you are still getting worse even after your doctor gives you meds, and remember when you first start any long term inhaler like Advair or Pulmicort, etc, it can take 10 to 14 days to get results. You may need a course of oral anti-inflammatory drugs like prednisone to get you through. If after all of that you still aren't getting better then I'd ask your doctor for a referral to a pulmonary specialist for more investigation.
Now, to exercise. It sounds like you have exercise induced asthma but that can only be confirmed by your doctor. What that means is, exercise constricts your bronchi and makes you wheeze. I use my albuterol inhaler about 20 minutes before I go hiking or running and that works for me as a good preventive measure. I would recommend you work with your doctor or a pulmonary specialist on how to approach this.
One of the things that is always helpful is to drink a LOT of water. I've read the body requires an ounce of water for every two pounds you weigh....EACH DAY. That seems like a lot but if you can drink at least 2 to 3 liters a day it will help keep the "junk" in your lungs looser and easier to cough up. If you are dehydrated then that stuff stays thick and sticky and is hard to move out.
The biggest advice I can give you is take the time to sit with your doc and go over your symptoms, make sure you're using your meds correctly, and if his treatment doesn't work, then ask to see a pulmonary specialist. Also, I think the American Lung Association has an online site for asthma sufferers with tips and strategies as well.