If you are having problems with depression (which you are, if you're so sad you don't want to get out of bed some days), then take the Prozac. Of course with any medication (even Tylenol!) there are risks. Nothing in life is 100% safe, right? But the use of anti-depressants in pregnant and nursing women has been well studied, and your doctor feels that the benefits outweigh the risks for you.
To put your mind at ease, I was on Zoloft starting at 13 weeks with baby #2. I had had horrible PPD with baby #1, and was starting to show signs of severe depression with pregnancy #2. I started taking the Zoloft and the difference for me was immediate. I felt SO much better! It was like the clouds lifted and I was actually able to feel joy again, and be happy about my pregnancy and take part in the things I enjoyed. I took it until my daughter was 6 months old and I stopped nursing. My daughter (now almost 6 years old) is absolutely fine and perfect! No health issues at all, and she is as bright and happy as she can be!
I just wanted to reassure you that if you have any concerns, speak with your doctor about them. But realize that LOTS of pregnant and nursing women are on anti-depressants and that for the vast majority of those women, the medication causes no ill side effects at all, and provides a great benefit to them. Try not to worry! And, hang in there. :)