If you are used to heavy exercise then I would say continue - but ease up for the first few weeks of the VLCD and never go beyond what your body is telling you it can cope with. If you are new to exercise then I wouldn't start exercising heavily and a VLCD at the same time. Your body is going through a huge change getting into ketosis and you will stress it if you try to do too much. Also, losses tend to be lower on VLCDs if you do lots of exercise - not sure why but the theory is to do with water retention. You could always do some gentle toning/strength exercises and save the cardio for when you are at goal.