Exercise is one of the best things you can do for you and baby during pregnancy! Keep it light, no heavy lifting, try and avoid sit ups and keep hydrated when working out! I walked 20min everyday on the treadmill, did light weights on the arms and did Aqua Aerobics until 38 weeks!
ETA: Zen Yoga does Prenatal Pilates and Yoga of pregnant Mummies :) Just go onto their website and you can find all the details! They have a few locations around Dubai.
<em>edited by plumie on 24/03/2011</em>