Stress incontinence - losing or leaking of urine under "stresses" like sneezing, laughing or exercising - is a common problem in women. Kegel exercises and other exercises that strengthening the pelvic and abdominal muscles can help correct this. Try incorporating the Pelvic Tilt in your exercise program.
The Iowa Women's Health Center provides detailed instructions for the Kegel exercises at http://obgyn.uihc.uiowa.edu/Patinfo/urogyn/kegel.htm.
You might also find it helpful to ask your gynecologist to give you instructions and feedback during your next exam.