Cough that lasts over a week

It's my first pregnancy, only 4 weeks, and I happened to start it with an awful cough. It's been a week now and I'm not sure it's getting any better. My doctor told me when I went in last week (to do my pregnancy test and schedule my first ultrasound) which medications to take and I've been doing that. But I'm just wondering if anyone else has had a cold or cough last this long ? I know our immune system is down, so I just want to know if it's normal if I should consider going to urgent care?