You can do these exercises at any time and any place. Most people prefer to do the exercises while lying down or sitting in a chair. After 4 - 6 weeks, most people notice some improvement. It may take as long as 3 months to see a major change.
After a couple of weeks, you can also try doing a single pelvic floor contraction at times when you are likely to leak (for example, while getting out of a chair).
A word of caution: Some people feel that they can speed up the progress by increasing the number of repetitions and the frequency of exercises. However, over-exercising can instead cause muscle fatigue and increase urine leakage.
If you feel any discomfort in your abdomen or back while doing these exercises, you are probably doing them wrong. Breathe deeply and relax your body when you are doing these exercises. Make sure you are not tightening your stomach, thigh, buttock, or chest muscles.
When done the right way, pelvic floor muscle exercises have been shown to be very effective at improving urinary continence.