This is such a loaded area for sooo many women. It is good that you're not focusing too much on calories and fat or number of pounds. This is my first, so I'm not speaking from previous experience, but I'm also in school to be a midwife, where we put a lot of emphasis on nutrition. The number of pounds gained is totally arbitrary and unique for each woman.
While there are risks for gaining too much weight, the risks are more associated with the *nutrition consumed* rather than the pounds gained. Meaning, if a woman eats a ton of junk food (too low protein, very high sugar/ processed food, few fresh foods), she may gain 50 lbs or 25 lbs, but both are not so healthy... She'd have an increased risk for gestational diabetes, which could lead to macrosomic (very large) babies. However, it is not necessarily the pounds she gained that is the issue, but the nutrients she ate (or didn't) that contribute to many of the risk factors.
Good nutrition is sooooo important while pregnant, because our bodies are doing amazing things. The nutrution we eat helps our babies' brains develop. Frequent meals/snacks are awesome, and ideally, all meals and snacks should contain a whole grain, a protein source, and a fresh fruit/veggie. Our systems are totally on overdrive helping our babies grow, so our need for protein really increases. There is also some evidence suggesting that women who consume more protein have lower levels of preeclampsia.
With that said, obviously pregnancy is not the time to diet, or restrict our food in any way (though making healthy choices is definitely important). Our babies are developing so much and they need all the good stuff we're eating, so we should be eating lots and lots of good stuff...
Exercise during pregnancy is awesome... The DVD you were talking about, as well as yoga, walking, swimming, dancing. While it is generally not a great idea to diet during pregnancy, exercising during pregnancy has so many benefits. The obvious ones is that it can help keep excessive weight gain in check. It will also help your body during labor (labor tends to be easier), and women tend to recover more quickly after giving birth. It is thought that exercising moderately can also strengthen baby's heart. Also, though it sounds counter-intuitive, exercise can really help with fatigue.
Personally, I'm planning on maintaining my activities, for the most part, as much as I can during pregnancy. My husband and I both run, and though I have already gotten slower, I plan on running for as long as it feels comfortable. I do zumba and some yoga, and lots and lots of walking. Our community pool is under renovation, but hopefully they are complete before summer is here! I do my best to eat healthy, though I'll certainly eat cake and ice cream when I want it. My guideline if I want sweets is that I have to eat real food first. I believe that even if I end up gaining 40 lbs during pregnancy, that doesn't matter if I'm active, exercising, and eating good healthy foods. I think the risk of trying to avoid weight gain is much greater, because our babies are depending on our nutrition for their development.
Anyway, that's just my 2 cents. It definitely is harder to be active in the winter in general, so keep up what you're doing! Best of luck to you!