I am pretty sure that you will not find a doctor that will advise you to try to lose weight while you are pregnant. Actually you need about 400 extra calories a day for the baby.
Usually doctors dont advise you to start any strenous exercise regimen while pregnant. But walking and swimming arent too hard on the body and some exercise could be alright. Still get the ok from your doctor.

I understand why you are concerned though. I was overweight when I got pregnant the first time and ithe same thoughts were going thru my head too. Just accept that you are going to gain some weight and try to enjoy your pregnancy. After you have the baby you can start working on losing some weight.

Go buy some cute maternity clothes, it will make you feel better. ;)

Lilypad gave some good advice - some exercise is okay during pregnancy. I have read before that a bit of low-degree regular exercise can reduce labor pain a little bit. But doing things like running a mile or doing those exercises that will give you the aching pains in your abdomen the next day would be advised against.

My dr told me not to start doing anything that I wasn't used to before. So if you weren't used to exercising before then you shouldn't start to do it now. Walking should be fine though because it's something you do every day just don't overexert yourself.