The bladder and outlet passages are supported by a hammock of muscle (the pelvic floor muscles) that sits between the pubic and tail bones. It also keeps the bladder closed.
Unless exercised, this muscle can weaken over time, losing strength and flexibility. to the point where it is no longer able to hold back urine during commonplace activities such as coughing, laughing or sneezing.
These types of activities place a downward exersion on the pelvic floor muscle. A strong muscle can cope with this but a weakened muscle may not be able to keep the bladder closed, resulting is some urine leakage.
Information on male pelvic floor muscle exercises can be found here.