If you are experiencing shortness of breath you should stop exercise. Shortness of breath may be a result of being inactive. Exercise is very safe and good for the heart and lungs but if you have been inactive then exercise may be a challenge at first. However, stopping to catch your breath would be a wise choice.
If shortness of breath is combined with cold sweats, nausea, or vomiting then seeking immediate help as this may be a more severe issue. Following seeking help, wait until you are cleared by your physician prior to start exercise once again.