pregnant but I have my period

I found out Tuesday I was pregnant but got my period on Thursday. I've been checked out and had my first scan as I was told to go to the doctors when I started bleeding and I'm about 6 weeks pregnant. I was told I am probably just having my period as some people can still have their first one when they are pregnant. I was told not to worry unless I get Blood clots or really heavy bleeding or extreme pain yet I'm still worried as I have bad period cramps

Has anyone else ever had periods when pregnant? This is my first baby so don't know what to expect and just want to make sure baby and I are ok.