People with COPD-emphysema and chronic bronchitis-often experience difficulty breathing including shortness of breath, wheezing or coughing. People with COPD can use up to 10 times more calories to breath than people without COPD. Breathing exercises can help you to breath with less effort by strengthening the muscles that are used to breathe and help increase the oxygen capacity within your lungs. Here are two exercises:
1) Pursed Lip Breathing. This type of breathing exercise is often recommended by healthcare professionals for people with COPD. For this breathing exercise, you should breathe in for 2 seconds through your nose with your mouth closed. It should be a normal breath rather than a deep breath. Then slowly breathe out for 4 seconds through your mouth with your lips pursed-as if you were going to whistle. You can do this exercise for 5 to 10 minutes 3-4 times per day.

2) Another exercise is deep breathing or diaphragmatic breathing which helps strengthen the diaphragm and abdominal muscles. For this exercise you, you can lie down with your knees bent or you can perform it sitting or standing upright. Place your hand on your abdomen and Inhale deeply through your nose for 3 seconds. You should feel your hand rise with your abdomen. With your abdomen pushed outward, your diaphragm moves lower and more space is available for air to fill your lungs. Then, tighten your stomach muscles and slowly exhale for a count of 6 through pursed lips. Exhale completely. You should do this exercise for 5-10 minutes 3 or 4 times per day.

References:
http://www.webmd.com/lung/copd/copd-and-exercise-breathing-and-exercise-programs-for-copd
http://www.copd-international.com/Library/plb.htm
Leader, Deborah RN, How to Perform Diaphragmatic Breathing with Pursed Lips http://copd.about.com/od/livingwithcopd/ht/diaphrbreathing.htm, June 16, 2009