B.M.
I just jumped on babycenter.com's blog - apparently billions and billions of women have this test in their 1st trimester with no apparent issues. But here is what the big buzz words were:
How old are you? (I'm not really asking). I know that Dr's have magical ages for which it all changes as to how high they place your risk.
Have you hit a "milestone" age between the birth of your last baby and your new pregnancy?
In addition to protein they can also check for sugar in your urine which would indicate risk for diabetes. Does your Dr consider your weight to be acceptable?
They can test for creatinine, which tells them about muscle metabolism and kidney function
Also pre-eclampsia (already mentioned) but that's a biggie.
I'm sure there is nothing to worry about - but ask your Dr why the extra fun?