For those of you who suffer with arthritis, are you suppose to push through & exercise the joints or is it better to rest them?

I heard exercise is good in Moderation , my Family Doctor she wants me to exercise i have Osteo-Arthritis in my knees , i was thinking of getting on a Treadmill maybe at local Planet Fitness not too sure it costs money . I know my knees ache like toothache but i manage to go on i take Celebrex in generic form and i have no side effects at all but not all medications help people and some over the counter are better for you.