matiekay-
I have had three children. Is this your first pregancy?
For women of normal weight, the average recommended weight gain during pregnancy is in the 25-35 pound range. For women who are overweight, it is more along the lines of 15-30 pounds.
There are MANY reasons why you gain weight during pregnancy, and many of those pounds are not going to be fat. The first place that weight gain usually takes place, is in the breasts. When you become pregnant, your breasts immediately start gearing up for milk production. You can gain 1-2 cup sizes during pregnancy, often going up a cup size in the first few months. They will also get heavier. Your breasts alone can gain 1-2 pounds.
Also, your uterus normally is about the size of a lime. As your pregnancy progresses, it grows along with the baby, up to the size of a watermelon. The uterus gets heavier as well, causing another extra pound or two during your pregnancy. The bag of amniotic fluid, and the placenta, grow during the pregnancy as well, causing a few more pounds. Your blood volume increases in your body as well, also causing a pound or two of gain. These are necessary functions to sustain your pregnancy. Even if you eat healhtfully and exercise, you will (and should) also gain a couple of pounds of fat. This is a natural process, because the body needs more fat stores, because they will be used up during breastfeeding. Even if you choose not to breastfeed, your body doesn't know this during the pregnancy, and will collect them anyhow.
This is why a woman can have an 8 pound baby, and if she is healthy and active, can gain 25 pounds in the process. This is also why someone who has issues with being underweight can also have more problems with possible miscarriage, and why when a woman becomes too underweight (like a gymnast, for instance) that sometimes they will stop menstruating. It is the body's way of saying that they do not have enough fat stores to carry a child.
Please, don't get upset at the thought of gaining weight. A few of the pounds will go away with birth-the weight of the baby, the amniotic fluid, placenta, etc. and the weight of the uterus and extra blood volume will go down over the 6 week postpartum period. So, you won't really know how much is actual "fat" until the baby is 6-8 weeks old.
I recommend discussing this with your doctor. Most of the books that I have read recommend gaining up to 5 pounds during the first trimester, and then about 1/2-1 pound per week after that. Also, with this weight gain, there is going to be some weeks where you don't gain, and then you might gain 2-3 pounds the next week. It doesn't work like clockwork, but averages out over the course of the pregnancy.
Feel free to come over to the pregnant/nursing area here at 3FC as well.

There are lots of ladies over there who are pregnant, nursing, or trying to lose baby weight after delivery.
Good luck,
Aphil