There is a whole thread regarding this, I just bumped it for you.
(It should really be a sticky...)
But my understanding is that after the first few weeks, you can start doing light exercise such as walking or yoga, but most coaches seem to advise people to stay away fro anything that gets your heart rate up or burns too many calories. I assume this is just because we are getting so few calories to start with and you don't want to shock your body or send it into starvation mode.
There are lots of people on the threads who successfully work out though, and there is even an athletic version of the protocol. Someone was actually talking about that today, so it should be in one of the most recent threads. They posted the protocol sheet and everything.
I would say talk to your coach first about anything though, just to be safe.