First things first. Calm her down, provide emotional support in a professional manner. You should only inform those people in the chain of command who need to know. Her information should be kept confidential. Usually the individuals who would need to know are: Platoon SGT/LDR, Co CDR/1SG. You may be able to involve fewer people depending on the specifics of the situation. If in doubt see your 1SG and discuss the matter with him. Next, let her know that one way or another she will get through this and be stronger for it. The first issue is to find out if she is actually pregnant. There is no sense in wasting emotion and energy on something that may not be an issue. Have her buy an over the counter pregnancy test. Once you have the results from that, have her go to the medical facility and take an actual pregnancy test. If she is not pregnant she has learned a hard lesson in life. You need to follow up with her and discuss the issue and how to prevent this problem in the future.
Pregnancy affects both readiness and quality of life. You must try to keep her calm and reassure her. Next, she needs to speak with medical authorities and a counselor of some type (chaplain, crisis counselor, doctor, etc.) to discuss her options. She may or may not want to keep the baby and she needs to understand her options and the consequences of her decision. You do not have a say in this matter. This is her decision. Let the professionals help her through this phase. Once this decision is made she will need additional help and guidance.
If she decides to give the baby up or have an abortion (where legal) she will need emotional and professional support.
If she keeps the baby she will need to make some decisions:
Does she want to stay in the Service? If she wants to leave the service there are specifics requirements pertaining to leaving.
If she remains in the service she will have to set up a family care plan, move off post or obtain quarters on post, she will need to arrange for child care, be concerned with maintaining her physical fitness readiness during and after birth, help her in establish paternity (if she desires) this will be needed to establish child support if she desires it, she should also be sent to JAG to understand her legal rights in this issue with regard to the father of the child.
With regard to her family—depending on her family relationships, background, religion, etc.—it may be difficult for her to tell family members. This is something that she may need help with. Counselors that are trained in this type of crisis counseling should be used.
Given the circumstances of the Soldier and her limited experience away from home, you should ensure follow-ups are conducted regularly. This could include: checking on health issues, making appointments, any assistance with tasks mentioned above, and watching for signs of increased stress or depression. The bottom-line is she will get through this life changing event. She is not the first women to get pregnant and once the initial shock passes she will most likely do very well.
I would also caution you as a leader not to become overly or emotionally involved in the matter. Be professional and no matter your personal beliefs do not judge her but provide leadership that helps her accept responsibility and accountability for her actions and helps her grow as a professional Soldier. Remember, how you handle this situation will critically shape how this person sees the Army and its leaders. It may form the foundation of how she helps Soldiers when she becomes a leader.