I don't think you need to buy any special DVDs at all.
You can use a lot of Cathe's weight training DVDs that you already have, and just adapt as you go along (i.e., all work done as incline, rather than flat on your back from 2nd trimester onwards).
You also don't need to buy a treadmill. I powerwalk all over town. I have mapped out 7, 11, 12 mile circuits and I just do the one I want. I include any hill I encounter and some I do multiple times for hill repeats. No treadmill here! And MI is known for its flat land.......
Save your cash for buying a crib, stroller, etc, etc. Because, boy, does the cost of a child start adding up fast!
I don't mean to scare you with what I wrote. Normal exercise is just fine unless you are told otherwise. It's just that Cathe tops off at the high and intense end of the scale and that isn't what you need right now. So, stick with her weight training as you feel comfortable, and use any low impact and steady state DVDs. I'm sure you'll be able to cobble together quite a lot of do-able stuff from your collection.
I was heavily into Cathe's step when I discovered I was pregnant with my first. It wasn't that anything was contraindicated, but very quickly in the first trimester, I just wasn't comfortable anymore doing step. Lumbering up and over the step felt exactly like that: lumbering, no longer flying.
And the point someone made about your joints feeling loose and wobbly is a very valid point. Your hormones will be relaxing your ligaments from now onwards, so be careful how you plant your foot and don't over-extend into any position. You'll know when it's time to adapt. You'll just start to feel uncomfortable and like it's all too much: once you start having to make so many modifications, it just isn't worth it anymore, then you know it's time to hit the pool or just walk.
Never underestimate the power of walking. And while 8 and 9 months pregnant, nothing made me feel graceful except being in the pool. There I could still complete my mile swims.....
Relax, enjoy the process, let things happen and trust your body's reactions. Your body knows better than your mind does what it needs for the next 9 months. You will find it talking to you: just listen.