If you have not been exercising through your pregnancy, then the easiest thing would be to start walking. Also, try to decrease fast foods, sweets. In terms of snacking, start eating veggies.
Your doctor should refer you to a nutritionist if he's concerned about your weight.
Can you call and ask specifics? At 36 weeks, it's too late for you to lose significant weight before the baby comes. How much weight is he/she asking you to lose?