Kegel exercises strengthen the pubococcygeal muscles located around and beneath the penis. These muscles are part of the complex mechanism that controls the propulsive aspect of an orgasm. There have been several threads posted on the topic, but I definitely recommend an online search for "Kegels" or "Kegel exercise" to see which web sites provide the most information.
In the meantime, don't worry if you're not a sprayer. Though part of it can be enhanced by the Kegel movement, it too is a biological feature. You might or might not have the genes that would support a more "spraying" type orgasm, and if that's the case, there's nothing you can do about that.