smoking makes cardio, exercise in general, more difficult. basically, with training, you'll get better at it, but someone who has a job sitting a chair and doesn't smoke would be starting froma better place than you are. it's kinda like your digging yourself out of a hole.
since your in decent shape it sounds, not fit, but not unfit, i'd recommend running. if you like it that is. start by fast walking/slow jogging, and as you get better, increase the speed. the bike is another good cardio exercise.
for weight lifting, seach through previousl threads, there's a lot you'll be able to find. you might also want to get a session or two with a personal trainer.
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