Unless you're a boy, it's a natural body function. Sometimes, it's embarrassing when it stains through your clothing, but it happens to every girl at least once. No need to get embarrassed by it. The ones that poke fun of you are the ones that absolutely do not get what it means to be a woman.
In addition, if you're having unprotected sex, having your period usually means you're not pregnant. So, for some, it's a welcome relief when it starts.