To participate in this study, patients must have disease that can be measured on a CT scan. Brain metastases are OK if stable. Pregnant and/or nursing women may not participate. This drug has been approved by the FDA for the treatment of advanced renal cell cancer and a certain type of stomach/intestinal cancer. Its efficacy in lung cancer in currently unknown. Common side effects include fatigue, nausea, diarrhea, skin reaction, and decreased blood counts.