When you become pregnant, a hormone called HCG is secreted that interrupts the menstrual cycle. In exceptional cases, a woman may still have her period despite being pregnant. However, this is very unusual. Moreover, bleeding that may be present at the beginning of a pregnancy usually stops as the pregnancy progresses. Do you have any symptoms that make you think you are pregnant (e.g. breast pain, nausea, fatigue, etc.)?
If you want to know for sure, you can always take a pregnancy test to put your mind at ease. However, I will reassure you right away that it is exceedingly rare for periods to continue during a pregnancy.