Ok, I don't know why they told you to come back at 12 weeks. I'm sure they had a reason I just don't know what it is.

Generally speaking you can still continue with any sport or exercise you done prior to falling pregnant, you just have to be careful about body temperature (having excessive heat even for short periods of time can do damage to an unborn baby), and also with the sport / exercise you are doing.

Prior to my first preg, I was into alot of sport and activity. I had to give hockey up - too much risk of physical contact, even if I had wanted to risk it I wouldn't have been allowed as insurance wouldn't cover me, so the club couldn't allow me to play without insurance.

I did continue with body balance (combination of yoga, pilates, etc), however my instructor was pregnancy trained and the positions I used varied from the rest of the class at different stages of my pregnancy (I also had to be careful about overheating).

I also continued with swimming and aqua aerobics without and issue.

Your best bet is to find out if there is someone at your gym (personal trainer, etc) who is qualifyied to deal with pregnant women. You can always ask you doc, although alot of them don't seem to have any REAL knowledge in this area, but if they don't they may be able to refer you to a sports therapist who is trained in pregnancy.