Menstruation is the body's way of getting rid of the uterine lining every month. The egg is released from the fallopian tube each month. If it is not fertilized then a woman will have her period. If it is fertilized then it will implant itself within the uterus in the lining. This acts as sort of a cushion or protection for the fertilized egg. During pregnancy a hormone called HCG is released. This hormone maintains stability for the growing embryo inside the uterus. Since the woman is pregnant (remember HCG is present), the body knows not to shed the uterine lining. Doing so would extract the growing embryo. The lining within the uterus is what makes it possible to maintain a pregnancy.
If the egg is fertilized, it will land and attach itself to your uterine walls and lining and what will stop you from having a period again is a hormone called the human chroinoic gonadotropin also known as hCG. What this one does is that it makes your body continue to produce progesterone and estrogen during your pregnancy. And don't forget that the lining will increase and the corpus luteum will begin to grow.