I haven't had any children yet (soon though), so I don't really know any of the specifics.
But I would say that exercise (depends on the kind) is definitely okay. Just check with your doctor first before you start doing anything. I would think weights would be fine...strength training would be good. I plan on doing Yoga when I'm preggers.
Good luck on this pregnancy...I'm sure everything will turn out the way you want it to.