Don't see your insurance listed? Find more doctors like this that take your insurance.
So you are sucking a lot of cold dry air into your throat and lungs which drys out the natural mucuses that exists there, and causes temporary inflammation and pain. This results in that burning sensation you feel in your throat/chest/lungs, which may or may not be accompanied by wheezing and coughing. It can be quite painful and quite distressing, but usually, it should subside within, hmm, about 15-20 mins after you stop exercising.
Lungs hurt: There are several reasons that can cause pain in your lungs when breathing in or out. Trauma to the ribs can cause problems, pleurasy is another cause. Throwing emboli may be another cause.