The first week of pregnancy starts two weeks before you have actually conceived. This week is generally counted from the first day of the last menstrual period (LMP). But in reality you become pregnant about two weeks later. But as it is difficult for you to know the exact date of conception, the counting is done from your LMP.
Although your baby has not been conceived yet, this week is counted as the first week of your 40 week pregnancy. Your expected delivery date (EDD) is counted from this week.
Your menstruation period has just started and may be you are planning for a conception. But before conception you need to build up some good habits as the health of your baby to be depends on your healthy habits.
At the end of the first week you have overcome your menstrual period and your uterus starts building up a new lining. The lining thickens gradually in the following weeks to prepare itself for holding the egg after fertilization.