 The main purpose of this study is to compare two types of treatment-standard palliative care which usually is given towards the end of life and integrated palliative care which is given soon after diagnosis to see which is better for improving quality of life of participants with advanced non-small cell lung cancer. Palliative care is care that tries to lessen the symptoms of a disease. Although many people with advanced lung cancer receive palliative care or hospice toward the end of their disease, the entire course of their disease is often complicated by physical and emotional difficulties. Palliative care may be useful when it is started soon after diagnosis. 