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If it is accompanied by a persistant cough then it could indicate asthma, otherwise it is probably just because you are unfit. Then again cold weather can also cause your lungs to burn more than usually, so can not breathing right. Focus on your breathing while running and see if it improves.
It means you pushed yourself hard, I've done it. I know it's annoying, but it's from exercise, it's good to feel it. You know then you're doing good on your weight loss journey.
It means that you are pushing yourself and your lungs are expanding. It's really good :)