Kegel exercises are designed to build the muscles which support the pelvic floor, the uterus, the bladder and bowels. Doing Kegel exercises benefits anybody, man or woman, but they were originally designed (by a guy called Kegel, obviously) to help women prepare for childbirth and to have an easier recovery from delivery. These exercises give you greater muscle control during labor, which is why they are wonderful to do during pregnancy. Unlike other exercises, it is impossible to physically demonstrate them, because they are hidden. That makes explaining them a bit harder, but it also has a definite benefit. Because Kegel exercises can't be seen, you can do them anywhere, at any time. You can do Kegels while waiting for your train, or at your doctor's office, or at work while sending an email!
But enough talk about that how do you perform Kegel exercises? The easiest way to actually explain this is by saying that you use the same muscle that you bring into action when you are in desperate need of peeing, but need to hold up your urine for whatever reason. If you are already pregnant and have had "trouble" with the pregnancy symptom frequent urination, you definitely know what I am talking about. So pretend that you are holding in a pee, hold that muscle for a few seconds, and let go then repeat as desired. The more Kegel exercises you do, the greater your muscle control.