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http://www.helium.com/items/811513-how-does-the-respiratory-system-work

The walls of the alveoli are very thin and so the oxygen from the air travels to the surrounding capillaries (the red blood cells). Hemoglobin, a red blood cell protein helps the oxygen move through the air sacs to the blood. While this happens, the carbon dioxide from the air moves from the capillaries into the air sacs. The blood filled with oxygen, from the lungs, travel through the many networks of capillaries and into the pulmonary vein.