I've had problems too, of which more in a moment.
What can you do about it? Pilates is a good place to start as to do the exercises correctly you need to engage the pelvic floor muscles. Rather than a big class, start off with some 1:1 tuition.
Did the physio make you do a liquids diary (how much of what you drink, how much you wee out?). Learning to have a fuller bladder before you have a wee can help to strengthen your muscles too.
The other things you could try are a little TENS machine with a probe you insert into your vagina that exercises the muscles for you. And I think you can buy little cones that you insert to help with exercises too.
I'm very surprised the physio didn't help you with all of this - can you go back and have another session?
Now here's the bit about ongoing problems. Ready?
If this was your DC1 and you want to have more children, if you are pregnant again then carrying the baby with weak pelvic floor muscles is going to cause more stress on your body. You may well start to have urine leaks during pregnancy and then have "stress incontinence" afterwards, leaking if you laugh or cough for example.
Picking up your children or anything heavy might become a problem.
If the pelvic floor muscles are not up to the job, it can result in prolapses of the uterus and also bulges and tears in the back passage. This is very uncomfortable, a constant downward pressure, feeling like your innards are going to fall out if you stand or walk for very long. It also interferes with your ability to urinate or defecate. Surgery may then be needed to put things right, which could mean a hysterectomy.
There is a big, ongoing prolapse etc thread if you want to go and scare yourself into doing your exercises!
But especially if you want to have more children, you need to do what you can to sort this out now.
Good luck, and I hope all of this is not stopping you from enjoying your baby - for me, 5 months old is when they start to get really interesting!