It's likely that this pain is due to a cyst in your ovary, which is normal early in pregnancy. Every month after you ovulate, the follicle that contained your egg (now called the corpus luteum) starts producing the hormone progesterone to prepare your uterus for the possibility of pregnancy. If you don't become pregnant that month, the corpus luteum usually disintegrates, but if you do become pregnant it can form a cyst. Most women don't even know they have a corpus luteum cyst unless it causes pain early in pregnancy or shows up on an ultrasound. While the cyst may be uncomfortable, it's actually a good thing, because the progesterone it produces is necessary to get your pregnancy off to a healthy start. Sometime before the end of your first trimester, the cyst will stop producing progesterone and your placenta will take the reigns on progesterone production. The cyst will then most likely disappear, and your pain should too.
Although the discomfort is probably nothing to worry about, you should let your doctor know. He or she may do an ultrasound to rule out an ectopic pregnancy (where the embryo implants outside the uterus, usually in the fallopian tube).