I found out around 4-5 weeks too. I had a lot of morning/afternoon/evening sickness though so the workouts pretty much became none existent for me. I was also really tired, so after work, I just crashed. I'm in my 10th week now though and feeling SO much better. I plan to start up again with Cathe this week. I've heard about ligaments getting stretchy during pregnancy so I will be going easy on the weights, but I do plan to keep doing light weight work.
Liann makes a good point. You should carry on with your regular exercise program unless your body tells you not to. At this early stage it is difficult to know what sort of pregnancy you might have. I sailed through my first, although I was beset with incredibly fatigue for the first trimester that I slept most of the evening then woke up to go to bed and so workouts dropped off because there was no energy for them. Your fatigue may not have settled in yet. When it does, listen to your body and let your own energy levels dictate whether you nap for the afternoon or go for a walk or do a cardio workout. During the second trimester I continued with Cathe step cardio and swam a mile 5 times per week, then walked 4-5 miles per day and/or swam exclusively for the last trimester. Swimming made me feel elegant even though I was so big!
I never paid any attention to the "don't go above a certain heart rate" stuff. I didn't need to keep checking my heart rate. I was an exerciser and therefore could handle more than the average pregnant, non-exerciser, but also, again, if I pushed it too far, my body let me know about it with light-headedness, fatigue and slight nausea. You will know when to back off and ease up.
With my second pregnancy I had 9 months of nausea and it was dreadful. I was also a grad student, incredibly tired, with one small child, so I didn't exercise. No time, no energy, could hardly eat, etc. So, you see, you have to do what the pregnancy dictates!
Plan to continue with your regular fitness activities, anticipate fatigue setting in soon, a resurgence of energy in the second trimester and a need to scale things back/modify in the third. This seems a predictable pattern for exercising while pregnant, unless strict doctor's orders dictate otherwise.
Congratulations to you and enjoy your pregnancy. It is a fascinating and very special time!
Clare