Eat a healthy diet, not a "weight loss diet"
Limiting pregnancy weight gain does not mean you have to go on a diet to lose weight while expecting a baby; everyone in the medical field agrees that this is not a good idea. It is a good idea to limit the amount of calories you consume in a day to a healthy amount; around 100 to 300 more than are needed when you are not pregnant. But, it is clear that the quality of the calories you take in is much more important than how much you get.
Focus on eating a diet that is low on fat (no lacking it altogether), low on processed foods, and full of fresh fruit and vegetables. A healthy diet should include foods from all major food groups, but be low on saturated fats. Healthy fats can be gained from fatty fish like salmon, for instance. Such fish contain lots of Omega 3 fatty acids, which aid your baby's development.
Prenatal exercise is one way of limiting pregnancy weight gain that is very healthy. If you can, go for a 30 minute walk every day, and you may like to look into prenatal swimming or yoga classes too. You don't have to go to a gym or swimming pool to be physically active, though, you can take stairs instead of elevators and park your car further away from your destination too.