This is what I found on About.com
If you find out that you became pregnant while using the pill, it may be helpful to know that there is no conclusive evidence indicating that the pill will harm your baby in any way. Fetuses exposed to the pill during early pregnancy are not at increased risk for developing complications or birth defects. That being said, using the birth control pill while pregnant is not recommended, so if you think you could be pregnant, it may be a wise idea to stop taking the pills and use an alternate form of birth control, like condoms.
So it says there is no evidence that it will hurt the baby but you should stop taking them if you think you are pregnant.
at 4:26 PM on Feb. 10, 2010