What's are the things I should do when I found out I'm pregnant?

First things first, go to a gynae and get the pregnancy confirmed. You can also make a list of tests that you need to undergo to see that you you have a smooth pregnancy. You can also make a birth plan and put all the things that you intend to do or want to do during your pregnancy. Take a look at this birth plan to get an idea: http://www.babycenter.com/calculators-birthplan