I am with F1 visa, but now I am pregnant and I can't go to school. Me and my husband have plans to marry and to change my status to F2 depend on him (because he is with F1 also). Can you tell me what forms do I have to fill to do this?

You need I-20 for dependent issued by his school, I-539, financial documents, proof of marriage, etc. As a F-1 holder, have your husband contacted international office at his school. They need to verify your status before submitting the application to USCIS.