Have you tried the Couch to 5K program? I'm not anemic and don't smoke, but I was horribly out of shape when I started the C25K program. I was winded after 30 seconds just like you. The C25K uses intervals of walking and light running to get your body acclimated to running. When you start out you do a 5 minute walk to warm up then run 60 seconds then walk for 90 seconds. You repeat this for 20 minutes, then do a 5 minute walk to cool down. The program is designed to get you ready to run for 30 minutes or 3.1 miles without stopping. The program lasts 9 weeks, but if you are struggling, there is no shame in repeating a week until you feel more comfortable. The other thing to keep in mind is start slowly. When you first start, jog very lightly. You don't want to burn yourself out in the first 5 minutes and give up. Run at a slow and steady pace, you don't need to sprint. A general rule of thumb is to run at a pace that allows you to maintain a coversation. If you are too winded to speak, you are running too fast. One last thing. The program allows you to either run for time or for distance. To start, I would suggest focussing on the allotted running time. Some of the later staged say to run for 1/2 mile or 5 minutes. Don't worry if you don't complete 1/2 a mile in that 5 minute span. Just run at a pace that will allow you to run for 5 minutes without stopping for a walk break.

The first few weeks are tough, but it does get a easier as you progress. I can't stress enough that you should go at it slowly. It takes a lot of time for the connective tissue and muscles to strengthen around your knees and ankles. If you run too hard or overstride, you risk injury. Some pain, especially in the shins and knees is normal in the beginning, especially if you haven't run a lot before. And make sure you only run 3 days a week. It's tempting to try to run more frequently, but you really do need to rest your body in between runs. If you feel the need to excercise in between, some light cross training like biking or walking is best.

One final point. If you have a medical condition, you may want to talk to your doctor before beginning. I suggest printing out the Couch to 5K schedule and bringing it to your doctor so they know the type of exercise you'll be doing. You may need to alter the program slightly to accomidate your conditoon. Here's a link to the schedule

I completed the program in July and felt very proud that I did. Good luck!

I was a smoker when I started running, so that should not be a consideration.  If anything, the increased activitity will assist with improving lung capacity and energy levels.  Just keep going because it may take additional time to see performance improvements. 

Also, look into the electronic cigarettes ..there is a wide variety...they are a lot safer and you can easily transition (with a plan to step down on nicotine levels, if you want to).