Brief Summary: The goal of this clinical research study is to learn if dexamethasone can help reduce shortness of breath in cancer patients. Researchers also want to learn if it can help to improve lung function and quality of life. In this study, dexamethasone will be compared to a placebo. Dexamethasone is commonly used for treatment of nausea, tiredness, and pain. It may help patients with shortness of breath. A placebo is not a drug. It looks like the study drug but is not designed to treat any disease or illness. It is designed to be compared with a study drug to learn if the study drug has any real effect.

Detailed Description: Baseline Tests: If you are found to be eligible to take part in this study, you will have baseline tests after completing the screening questionnaires. The following tests and procedures will be performed: * Information will be collected from your medical record about your age, sex, race, disease type, how well you are able to perform the normal activities of daily living, any drugs you are taking, and possible causes of shortness of breath. * Your breathing rate will be measured. * The amount of oxygen in your body will be measured using a machine that clips on your finger. * You will blow into a device called a spirometer a few times to measure your lung function. * You will be asked to answer 4 questionnaires. The first questionnaire asks you to rate your level of symptoms, such as pain, tiredness, sleep, appetite, depression, anxiety, and drowsiness. The second questionnaire asks about your sensation of breathing. The third questionnaire asks you to rate the intensity of your shortness of breath. The last questionnaire asks about your quality of life. These questionnaires should take a total of about 40 minutes to complete. Study Groups: You will be randomly assigned (as in the flip of a coin) to 1 of 2 study groups: * If you are in Group 1, you will receive dexamethasone. * If you are in Group 2, you will receive a placebo for 7 days, then dexamethasone for 7 days. You will have an equal chance of being assigned to either group. Neither you nor the study staff will know if you are receiving the study drug or the placebo. However, if needed for your safety, the study staff will be able to find out what you are receiving. Study Drug/Placebo Administration: After your baseline tests, you will be given a supply of either the study drug or the placebo to bring home. Starting the next morning, you will take 2 dexamethasone or placebo capsules twice a day by mouth for 4 days. Then, you will take 1 tablet twice a day for 3 more days. After the first 7 days, no matter which group you have been assigned to, you will only take 1 dexamethasone capsule twice a day for 7 more days You should take the capsules around 8 o'clock in the morning and 4 o'clock in the afternoon. You should take the capsules with food and 8 ounces of water. You will also receive a portable spirometer to test your lung function. You should blow into the machine 1 time a day. Study Visits/Calls: On Days 7 and 14, you will return to the clinic or be called by phone. You should bring your capsule boxes with you if you come to the clinic, or have them with you if you are called so the study staff can count the number of capsules. The following tests and procedures will be performed: * You will be asked to complete the same 4 questionnaires you completed during your baseline tests. * You will also be asked about any side effects you may be having and if you think the study drug is helping your shortness of breath. * You will blow into a spirometer to measure your lung function. During the 14 days you will be taking either the study drug or the placebo on the study, you will be called by phone 1 time each day to ask you about your level of shortness of breath and to remind you to take the capsules. These calls should last about 5 minutes. Length of Study: You may continue taking the study drug for up to 14 days, as long as the doctor thinks it is in your best interest. You will no longer be able to take the study drug if intolerable side effects occur or if you are unable to follow study directions. Your participation on the study will be over when you have completed the follow-up calls and visit. This is an investigational study. Dexamethasone is FDA approved and commercially available for the treatment of pain, nausea and tiredness. Its use to help control shortness of breath is investigational. Up to 40 patients will be enrolled in this study. All will be enrolled at MD Anderson.