As with many things in life, the short answer is "it depends"! There are many different forms of exercise, that all work different parts of the body, and that all do different things.
Many people cite exercise as one of the best ways of dealing with osteoarthritis, so long as it is done the right way.
There is no single right or wrong answer, but here is a general guide: Different types of exercise will have different effects.
Anything that puts your joints under a large amount of stress (such as road running) is likely to cause problems - osteoarthritis (often mis-spelt oesteo arthritis or osteoarthritis) is caused by the cartilage around your joints wearing thin, and high-impact exercise could risk wearing the cartilage further.
Running on a treadmill or on grass would be a better option, since these surfaces will normally have a little more 'give', however, you should always consult a physician before undertaking any high-impact exercise or training.
At the same time, taking part in some gentle exercise each day will increase the durability of your muscles which will aid in keeping your joints decently aligned, thereby diminishing the chance of osteoarthritis.
Doing some gentle weight lifting is often quoted as being a good exercise to do, since it is low impact, but will help strengthen your muscles.
Another good option for exercise is power walking.
One of the best options is swimming, and other water-resistance exercise.
Swimming puts almost no pressure on your joints whatsoever, and so is a great choice for any arthritis sufferer, not just osteoarthritis sufferers who wishes to be more active.
As always, not doing any exercise at all will cause many more problems than it will solve - keeping active will help keep a person's body weight down, which in turn puts less pressure on the joints, and thus will not wear the cartilage so much.
Additionally, not working your joints at all would simply cause extra stiffness, making the already existing pain worse.