Do your best to be active, eat right, not smoke, watch your weight, and continue your medications if they help
. I am not sure what your doctor has tried yet. Niacin
can raise HDL and statins can as well. Alcohol is know to raise HDL, but there is no outcome study that I know of showing a significant decrease in cardiovascular events with alcohol (in moderation).
As far as exercise, do what you enjoy. The important thing is elevating your heart rate for a good aerobic work out.