While it's not possible to strengthen your lungs because lungs don't have muscles that can be reconditioned, you can strengthen the muscles that expand the lungsthe diaphragm and the intercostal muscles between the ribs. By strengthening these muscles, you may be able to delay the shortness of breath you experience during activity.
Joining a pulmonary rehabilitation program can help. In addition to strengthening chest muscles, you learn how to work your leg muscles, which, if you have emphysema, allows you to walk further before becoming short of breath.
The bottom line: When you aren't active, your muscles get weaker. But staying active will build and maintain your strength, keep your joints flexible, and improve your staminaletting you do more.