Is It Safe To Workout During Menstruation Cycle?

Should I not work out while on my period? I though I might have heard that it's not good for you. but if it's not bad for you, can I wear a tampon or is a bad better?

I'm eighteen yrs old, 5'3' and around 140 pounds (hence the working out question) I've had no medical problems in the past other than the flu when I was a kid. other than that I'm pretty much healthy. just wondering about this one thing.