Wondered that myself.
http://www.huffingtonpost.com/2010/02/15/obamas-return-from-camp-d_n_462849.html
02-15-10
The first family returned on Sunday night from a covert ski weekend near Camp David. On Saturday morning, Michelle Obama, Sasha and Malia hit the slopes of Ski Liberty in Carroll Valley, Pennsylvania.
They arrived at 9:15 am and the girls spent the morning with instructors. After lunch they skiied on their own and then went snow tubing.
(snip)