If the sperm doesn't come out of the vagina where does it go ? Could I be pregnant ?

Some travels through the cervix into the uterus and swims to find an egg in a Fallopian tube. Some drains out of the vagina.

You may or may not be pregnant.

After sperm release into vagina the uterus sucks it up. It swims to find an mature egg.
Its not always like that you'll get pregnant because as I said the should me mature enough to accept sperm.
You would probably get pregnant if you would have sex 12-16th day of your mensuration cycle. (i.e. 12-16th day from your period).
Use condom or some pill to void such a situation.