"Kegel" is technically the last name of the doctor who first "invented" the concept of doing pelvic floor exercises.

Now we use the word "kegel" to talk about any type of pelvic floor exercises. To do a kegel, you want to tighten the sphincter muscle that surrounds your urethra and stops urine from coming out (you can also do the same exercise for your anal sphincter, which surrounds your anus and stops feces and gas from coming out of your rectum). To make sure you are doing the urinary kegel exercise correctly, next time you are urinating simply stop urinating for a second or two. Congratulations, you are doing a kegel! You don't usually want to stop the flow of urine, so to practice your kegels daily, just squeeze that same way while going about your daily routine - driving, watching tv, etc. Make sure that you only squeeze your pelvic floor - not your stomach, thighs, or buttocks (you want to isolate the muscle, just as to do bicep curls you wouldn't tense up the rest of your body at the same time).

If you're having trouble with this, a doctor can prescribe physical therapy or biofeedback which can help tremendously.