Yeah, they just don't want you to decide to become a runner after you are pregnant. Ya know, you can do what you did prior to pregnancy with no worries (as long as you don't overdue it) just don't decide to start aerobics now!
Walking around really should be fine, but yeah, talk to your doc about your activity level prior to pregnancy and what if anything you should change now. You should be just fine, but if it will make you feel better then talk to your doc.
If you were pretty active prior to pregnancy then ask your doc about the workout tapes made for pregnant women. You could do those to stay in shape throughout the pregnancy. Well, as much shape as you can stay in during pregnancy, you aren't going to have a six pack or anything!Lol.