Well most women don't start their periods on the active pills, they start them on the placebo pills. If you think you may be pregnant, wait through the placebo week and test if you don't get a period.

You can still get pregnant on the pill. Uncommon as it is it can still happen! But just wait awhile and see what happens.

It is very very rare to get pregnant on the pill, as long as you are taking the pills at around the same time every day. Have you missed any pills, or been late? If so that would increase your risk, but if not then its not very likely. As Eiri said, most women bleed during the placebo pills. Sometimes women end up skipping their period all together for a month. If you are worried, test after the placebos.