Being pregnant but having a period.

Hi so I've talked to a couple of my friends that have had a kid or miscarriage and I was told that they didn't find out they were pregnant until about 4 weeks into the pregnancy which makes no sense cause u would miss ur period way before that but they said they still got there period and than found out...hopefully this makes sense does this happen to a lot of ppl?...I thought that usually ur first sign of pregnancy is a missed period so I just thought it was strange. .anyone experience the same? Thank you