The first thing you need to do is get the right gear: comfortable swimwear, good fitting goggles, swim fins, swim paddles and/or aquatic gloves well adjusted to your size, an elastic and possibly a training board and a pull buoy (these last two items you can easily find by the swimming pools).
For this swimming material, ask a professional for assistance on what to get.
In so far as swimming is a sport in which your body is carried you can practice it during your pregnancy. In fact during the last months of your pregnancy, it will help relieve your back and your legs.
Start practising this sport from the beginning of your pregnancy and if the sessions make you feel good, don't hesitate, in so far as your doctor allows it, to stick with the sessions, all through your pregnancy.
That way you will reach the end of your pregnancy in the best possible shape.
Take advantage of these sessions in order to relieve your body from the weight of your belly, enjoy it, your baby will feel it.
As with all physical activities, small warm up exercises are recommended before you start training and stretching exercices are recommended after you're done training.
Don't forget to drink in order to optimize your recovery.
Breathing is very important when swimming and depends on the pace at which you're swimming; Make sure you breath out (exhale) deeply and completely in the water, before breathing in (inhale), so as to optimize your comfort and your muscle relaxation.
Don't forget to put a fruit or a cereal bar in your bag in case you get a little hungry
Ideally, choose to workout on Wednesdays as that is the middle of the week. You may choose to workout on a different day but in that case please make sure you respect the off days between each session.
Good luck and make sure you always enjoy these sessions.