lol, funny thread.
Are you thinking of kegel exercises? You can exercise your "PC" muscle, basically the muscle between your penis and your butthole.
A Kegel exercise, named after Dr. Arnold Kegel, is an exercise designed to strengthen the pubococcygeus muscles. The exercises consist of the regular clenching and unclenching of the sex muscles which form part of the pelvic floor (sometimes called the "Kegel muscles").
http://en.wikipedia.org/wiki/Kegel_exercise