How did you get it treated? I've heard of the machines for this, but its not a very appealing option. I've also heard of exercises for neck/throat/jaw region, but do they work?
With a CPAP machine, a lot of patience, OSCAR [1], and the help of the kind people over at Apnea Board [2].
I was given the machine, which was titrated to the wrong pressure settings, with the cheapest mask that was too small for my big nostrils. If it hadn't been for the fact that I had a friend whose life was greatly improved by CPAP, I probably would have thrown in the towel on the first night. But I stuck with it, asked for help on Apnea Board, tried to learn as much about apnea and PAP-therapy as I could, and eventually got to a point where I'm pretty happy with it.
In regards to your last question, Yes, the exercises can/do work with helping to strengthen your throat area. Tying your jaw shut at night with a scarf, or taping your mouth shut, works as well. Another thing I learned, through a comment found here on HN, is how to force your sinuses to open up. Even if you are congested, close your mouth and try to breath through your nose. Eventually (usually not long) your body's need for oxygen will take over and open up your sinuses. Hope this helps but remember that I am not a doctor.