Exercise is definately called for in some tendonitis cases. I'm lucky enough to have a good orthopedist that doesn't believe in 'slap in a cortisone shot and see if it helps', unlike 1/2 the docs out there.
Many times building up the appropriate muscles will 'lift' the irritated tendons out of the bone track they've been rubbing on.
When something hurts, we generally stop using it. In these cases, it's better to keep active with it or you get into a cycle of 'it hurts, stop using it, (time passes, muscles get smaller), it hurts.."
I learned this rock climbing-- you can build up a cranking set of pull and gripping muscles, but if you don't do some push and reverse excercises, you're going to hurt.