You will want to go to your Dr. and have them do a simple urine analysis to confirm whether or not you have a UTI. UTI's are of course infections, and as with most infections, have the ability to spread. The closest organ to your urinary tract, aside from the bladder is your kidneys. Severe and prolonged untreated UTI's can cause kidney damage as well as scarring in the bladder.
There are medications available to take for UTI's that are safe during pregnancy.