Pregnancy occurs when a sperm manages to penetrate an egg, and the zygote created by their union implants itself into the wall of the woman's uterus as a pre-embryo.
For more information on the process of becoming pregnant, take a look at [Link](Mouse over link to see full location) - they have a very detailed account that will give you all the terms you need to google for more information.
The uterus, fallopian tubes, and ovaries are not in any way attached to the digestive track. The external openings are near each other, but the sperm will have been totally destroyed by stomach acid before they reach the anus.
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