Hi dear, yes it is extremely important that once you find out you are pregnant and start taking your prenatal vitamins, you also take your DHA supplements. Of course your doctor will guide you to it, but you can also ask the same yourself.
DHA is a type of omega 3 fatty acid that is extremely important for the health of your pregnancy. If you are already trying to conceive, you could start taking DHA supplements after speaking with your doctor. The same will continue through your pregnancy and till the time you are breastfeeding.
You can take a look at this article that I found quite useful http://americanpregnancy.org/first-year-of-life/omega-3-supplements-baby/