The aim of this study is to evaluate the effect of twelve weeks of a physical and psycho-social program consisting of: supervised, structured exercise training in a group of advanced lung cancer patients (cardio and strength training, relaxation training) twice weekly. Primary outcome is (VO2peak). The hypotheses are that patients who undergo this intervention will increase maximal oxygen uptake (VO2peak), strength (1RM), functional capacity (6MWD) and quality of life (HRQOL) and reduce the level of anxiety and depression compared to those who do not.