In most cases, TheParser's advice is corrrect - in AmE it's more common to say that you went swimming, fishing or boating on Xxxx Lake. However, I live in Michigan (the Great Lake State) and we have a peculiar quirk of saying "at" Lake Erie, or Lake Huron, etc. It's not necessarily typical usage elsewhere, but then again we Michiganders have some odd ways of saying things. For example, anyone who works for the Ford Motor Company will reply, when asked "where do you work?", "I work at Ford's." Folks who work at Chrysler or Volkswagen or even Wal-Mart do not use the possessive form when referring to their employer. In fact, I'm not sure if Ford employees outside of Michigan use the possessive. But it's traditional here, probably because of the impact Henry Ford and his descendants have had on industry in this area over the decades. :-D