The first several apts are pretty basic. They take blood work to check your hcg levels (typically), and depending on your midwife and what she believe's in you might get early ultrasounds. I actually interviewed dr's and midwifes after I had a miscarriage and found a great midwife who said she'd do ultrasounds if we don't hear the heartbeat (Although not typically before 6 weeks as you can't see anything before then anyway).
I'd just say take your time and express your worries, see what she can do to help put your mind at ease. The first trimester is really hard, and once you make it past when you last miscarried it'll still be hard but it does get a little easiear. I'm now 27 weeks and once we had the 20 week ultrasounds I've actually felt MUCH better about it (Although I've also had a previous child so I'm sure that helps).
I hope she can put your mind at ease. It depends on your midwife what she will do. Mine doesn't perform doppler till 12 weeks and she doesn't believe in ultrasound. So, I won't even hear my baby till next week. But, they usually consult on your nutrition and walk through all of the signs of trouble. I have a "danger sign" list that mine gave me. Whenever I think something is wrong I read through it. So far, the only thing wrong is my nerves! HA! The biggest thing to understand is that even though it's your body...it's out of your hands. The only thing you can control is your nutrition and activity. If you take care of yourself, then you are taking care of your baby too. The rest is out of your hands.
It really is difficult to deal with the anxiety during the first trimester. Stay busy and active. I know that I tend to worry when I'm idle.
Congratulations! I wish for you a happy and healthy pregnancy.