Do you know how your reproductive system works?
What happens is, about every month, you ovulate. If the egg is not fertilized, you have your period. When you get pregnant, that egg is fertilized and you don't have your period. Some women may experience bleeding, and any bleeding during pregnancy should always be discussed with your doctor. But you won't get an actual period when you are pregnant.
How the reproductive system works – Body
Here's a link that explains it a little better than I can.