I feel disappointed.

Me and my boyfriend have been TTC for about a month now. My periods have been short. The last one was 2 and a half days. I thought I was late again and this morning I got up to pee and next you now there was lovely AF to be my aquaintance. 
What should we do differently next time? Should I make an appointment with my doctor to let him know that we want to have children and maybe I am having infertility issues? 
I don't know how to break it to my boyfriend but there's always another try. 
All tips appreciated.