Perform exercise with dumbbell (4)
I believe the answer is:
dope
'dumbbell' is the definition.
('dope' can be a synonym of 'dumbbell')
'perform exercise' is the wordplay.
'perform' becomes 'do' ('do' can be a synonym of 'perform').
'exercise' becomes 'pe' (Physical Education).
'do'+'pe'='DOPE'
'with' is the link.
(Other definitions for dope that I've seen before include "Charlie" , "Drugs for a dimwit" , "Dolt -- drug" , "Informally, drug or silly person" , "Illegal drugs; fool" .)