I suffer anxiety attacks sometimes and it hurts when I can't stop crying and I feel it's hard to breathe. Lately I can't breathe well and I don't know what to do. My doctor said it is for the anxiety but he didn't tell me what to do when I feel it. Can someone advise me something to feel better?
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It sounds like your in a tough situation with doctors, so I'll suggest some options, but keep in mind that if you get the chance to see another doctor you should do so.
I've never suffered from anxiety attacks, but I do have exercise induced asthma, and before my diagnosis had some pretty scary situations where I couldn't breathe. For me, the best response to an attack was to try and calm down; I understand that's likely not possible with an anxiety attack. Therefore, the best way you'll be able to improve your response is by strengthening your general ability to breathe, as this will translate into a somewhat easier time dealing with an attack.
Web MD offers two examples of breathing exercises, both centered around breathing in through the nose and out through the mouth in specific intervals. You can customize a breathing program to what you feel comfortable with; almost any sort of structured practice will hold benefits. Depending on how you feel with these sorts of programs, you could move on to longer intervals, and over time work to increase the amount of time you can hold your breath. Exercises like these will increase the confidence you have in your breathing, and will make it easier to find air during those periods of anxiety.
This type of exercise, in the long run, holds more benefits, but is also more difficult to do due to your breathing difficulties. If you're worried about experiencing an inability to breathe during exercise, stick to the breathing exercises until you're more comfortable. Once you're able to do aerobic exercises, start slowly, keeping your heart rate <120bpm. As you grow comfortable with that level of exercise, you can work on increasing intensity, but always make careful note of how you feel breathing, and don't push things too far. In the long run, exercise will help make breathing easier, and will lessen the difficulties you feel during an anxiety attack.
As I mentioned at the beginning, these are suggestions from an athlete, not a doctor, and if you can you should definitely seek out a second opinion. If you have asthma or a breathing condition, the correct medicine will be orders of magnitude more effective than the strategies I listed. Best of luck.