You contract the muscles that you would use to stop in the middle of taking a piss. Those are the same muscles that you use to squeeze a guy's dick while he's fucking you. Strengthening them (the PC muscles) also prevents you from becoming too loose when the muscles are relaxed. Do a good job with this, and your boyfriend will never need to try anal sex on you. Your pussy will be tight enough for him. Some of us oversexed girls get to the point where we can grip a drinking straw tight enough that it's hard to pull out with your hand. That's more pressure than any guy would want. Then you can squeeze at half power or less, and do it for much longer without getting tired.
They also make your pussy get tighter when you have an orgasm, which means it gets really tight around the guys penis when he's fucking you. It causes them to basically cum or get pretty damn close afterwards. If you wanna exercise your kegel muscles I also recommend Luna Beads. http://en.lelo.com/index.php?collectionName=femme&groupName=LUNA-BEADS They are great for getting your muscles in better control.
Is it really supposed to help guys too? I heard the exercise is squeezing your butt cheeks as hard as you can and hold it for some period of time-rinse-repeat. But does it really make a guy last longer?