Gemcitabine and cisplatin given together is a standard treatment option for advanced lung cancer patients. The purpose of this study is to assess if the life span is longer in patients taking the investigational drug CP-751,871 in combination with gemcitabine and cisplatin compared to gemcitabine and cisplatin alone. Considering a 10% rate of drop-outs, 1,210 participants will be required in order to have an adequate sample size (1,100 evaluable patients) and power to detect a 30% prolongation of survival on the experimental arm.