In your third trimester you may notice occasional urine leakage while you are walking or coughing. This is due the baby growing inside you. Your pelvic muscles get over burdened supporting your bladder.
Kegal is an exercise for the muscles that support the rectum vagina and urethra. Strengthening these muscles can help bladder control after a vaginal delivery and decrease the risk of getting prolapse. You need to learn to contract the right muscles. Do this several times. Once you learn the art of squeezing the muscle to stop the flow of urine you know how to contract the right muscle.
You can start this exercise anytime. You need to sit down. Make sure you empty your bladder before doing this exercise. Watch this link for step by step instructions - https://www.youtube.com/watch?v=ToDCJ8gJd_U
During labour the pelvic muscles stretch beyond your imagination making passage for the baby to pass through. Kegal exercises when done properly help prevent complications during birth. It shorten the labour stage.