For patients with advanced lung cancer who are initiating treatment, this study is looking at adding a drug thought to asisst with improved quality of life and management of symptoms related to cancer and treatment.  This study will compare and active drug against a placebo (inactive substance) and compare patient symptoms.  This is a double-blind study meaning that the patient, physician, or health care team will not know whether the patient is receiving the actual drug or the placebo.  This is done to prevent any outside influence on the reporting of symptoms so that the use of the drug can be fully established. Patients are "randomized" on this study.  This means a computer tells the study team which treatment you will receive.  Neither the patient or the physician can choose the treatment assignment.  The purpose of Randomized trials is to equally study both treatment options using the same criteria in order to identify if one treatment may be superior to another treatment.