The first thing that Mary does is goes to someone who she can trust. She goes from having everything going for her as it pertains to a regular Jewish life. To not knowing what is going on. She has been shaken up by the good news that she is to be the woman who would birth the messiah. All of that must have been overwhelming, and instead of just sleeping on it, or keeping it a secret, she goes to family. Someone she can talk too, and someone who has been in a similar situation.