First Lady Michelle Obama says she can indulge in French fries and still have those famously buff arms – but it takes some work.

"I try to have no absolute no's," Obama, 45, tells the November issue of Prevention magazine. "I love French fries, I like a good burger, and I like pie. And that's okay. I would be depressed if I felt I could never eat the things that I love."

And there's a lot to love in the White House kitchen. "There are some great bakers here," she says. "If you like pie, it will be there always – at every meal. So for me, it's about setting up new boundaries. I had some challenges with that, but I'm balancing out."

A big part of that, the First Lady says, is her early-morning exercise regime. She varies her 4:30 am workouts with Pilates, cardio, stretching, and weights. "I enjoy arm exercises because you can see what it's hitting," she says.

A self-described "closet jock," Obama says she's been in the best shape during her 40s. "I've had more time [to work out] as my kids have gotten older. There was a period, actually right before the campaign started up, that I was really in tip-top shape. I was really there. And then my husband ran for president," she jokes.

The key, she says, is moderation. "I also don't want my girls to be obsessed about food," she says. "We don't have a 'no junk food' rule – I just want them to think about their choices. When my older daughter asks, 'Can I have pie?' I'll say, 'Did you have it yesterday? Well, what do you think?' And she'll come to the conclusion that, 'You know, you're right, I shouldn't eat pie every night.'"