When you exercise, you are making your muscles work harder. This is true no matter what kind of exercise you're doing. If you're lifting weights, you're using the muscles that will give you the body of a fitness model; but if you're doing aerobics or cardiovascular exercise (like running, bicycling, or rowing) you are still using one muscle in particular &md your heart is a muscle.
When your muscles, even the heart, are working harder, they are also burning more calories. Your muscles need more oxygen than they normally use to burn these extra calories. Your blood picks up oxygen as it travels through your lungs and delivers it to the muscles you're using. As your level of activity increases, your breathing rate increases to bring more air (oxygen) into your lungs so that your lungs can pump more oxygen into your blood and out to your muscles.