During respiration, the exchange of gases takes place through the wall of the alveoli or capillaries?I know it is one of these two, but my book is...

The exchange of gases, oxygen for carbon dioxide, takes
place between the alveoli and the pulmonary capillaries.  This is known as the pulmonary
exchange, and is part of the overall process of respiration, or breathing as we usually
call it.  So these capillaries are woven into the tissue of the alveoli, and the
exchange takes place in the connective tissue between them.  It also helps to think of
capillaries - any capillary - as a method of delivering blood to the tissues (as opposed
to other major organs), and the alveoli as the means for delivering gases, both the
inhalation of oxygen and transfer to the bloodstream, then the removal of carbon dioxide
from the blood followed by exhalation.  I hope that helps.