What should i do if i have pain when i exercise?

Depends: If you have chest pain you should contact your doctor or call 911. You should never exercise to the point of pain, only discomfort. On a scale of exertion from 0 to 20, you should aim for 13 to 16. Over 16 is too strenuous. If you continue to have any kind of pain while exercising, see your doctor. Don't try to exercise through the pain.

You should stop!: Pain is a message your brain is attempting to make you pay attention to. Do not ignore it. If everytime you stick a piece of metal into an outlet you get zapped, that will make a 2 yr old stop doing it... Please have your recurrent pain evaluated. Finding what's triggering it so it can be fixed should be your number 1 priority right now.