Someone has already said that it's the muscle you use to stop peeing midstream, but I wanted to add a few other points:
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Once you've identified the muscle, you shouldn't do kegels while peeing, because this can lead to UTIs and an unhappy bladder
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When you do kegels, you should try to only engage your pelvic floor muscles; try to avoid engaging other muscles in your thighs, buttocks or abdomen. Isolating your pelvic floor muscles can be tricky at first, but it gets easier
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As well as improving aspects of sexual function, kegels also help with incontinence. If you practice them now, you'll be thankful for it as you age