These exercises are for three main uses.

   1. They help to improve the muscles in the pelvis after childbirth
   2. They help to increase pleasure with intercourse
   3. They help a woman with vaginismus to control the muscle spasms which cause her pain. 
   4. They can help women with vulval pain. See http://www.vulvalpainsociety.org/html/pelvicfloor.htm for more help with this.

The muscles you need to exercise are the ones at the opening to the vagina. If you sit on the loo, start to pee, and then try to stop, it is that movement which is called Kegel's Exercises. You simply squeeze that band of muscles.
You can check if you are doing it right. With a finger inside your vagina, squeeze hard, and your finger will feel the movement.
To get better muscle tone after a baby, do ten squeezes every hour you are awake. nobody can see you doing them!
To increase pleasure with intercourse, practice the movement so you know you've got it right, then do it ten times an hour, and during masturbation and lovemaking. You will soon feel the difference, and, with luck, so will your partner.
To help with the vaginal trainers, practice the movement before using the trainers, then squeeze and release when you push a trainer into the vagina. It will make the pressure feel less, and help the trainer in.