What is a good exercise to strengthen my legs?

I go to the gym for a cardio workout. I usually use a treadmill but sometimes use an elliptical or stationary bike. Whichever piece of equipment I use, I have the same problem. Although I work up a sweat, I am not at all winded. The reason is that, even on the lowest settings, my legs get tired. I was hoping that regular exercise would strengthen my legs, but I have noticed no difference after a few years.

What are some good exercises? I can’t tell if the problem is mainly in the lower or upper leg. When I am done exercising, my whole leg feels rubbery.