Um... I think you might be worrying about
this stuff way too much, hon. :d
listen to the nurse-- she knows what she's
talking about! Are you over 35 years
old? If not, there's pretty much no
chance of you getting a stroke. The
headaches are normal... Unless you think
all pregnant women who get headaches get
them because they're at a higher risk for
a stroke! All the pill does is trick
your body into thinking it's already
pregnant, so the headaches you get are
just like the headaches pregnant women
get, or like the headaches you sometimes
get before you start your period.
If you're worried about acne and
depression, you might *look into* (not
assume it's right for you!) estrostep...
I took it for those two things, and was
very, very happy with my results in both
areas. But please! Discuss it with
your doctor, ask him/her why they
recommended what they did, what they think
about estrostep, etc.
But the headache thing?

calm down, love.
You're fine. :d totally normal!