UTI and Pregnant

So I just found out I'm 4 weeks pregnant and I've been having mild cramping. I went to the ER tonight because I was getting sharp pains and the Dr told me I had a UTI. He prescribed me Keflex and gave me a shot of Antibiotic as well. All this time I thought I was having implantation cramps but he told me uti's can cause miscarriage during a pregnancy if untreated. Has anyone else ever gone thru this before? He said my cramps may come from the UTI as well. I'm a little nervous :-(