Screening tests during pregnancy normally include urine tests, blood tests and ultrasound scans. The purpose of screening tests are to ascertain the level of risk, whether you or your baby have any problems. If a screening test finds an increased risk for a condition, a diagnostic test will be carried out to determine if the condition is present.
If you fall into an at-risk group(medial history, family history, ethnic group, age, etc), you may need to have more tests than others.
It is hard and stressful when the test shows a higher risk, but it does give you opportunity to get fully prepared before your baby's arrival. And remember that no screening method is perfect, in the case of Down's syndrome, its only 1in 60 is correct.