It's important to know that ANYTIME you have sex, you can get pregnant. I have friends that became pregnant on birth control of various and even mulitple kinds. Friends that got pregnant during their period or right after it ended. I even know a couple women that got pregnant without even going all the way (just really close to it).
Now, missing one period or it being super late is not all that unusual. And if you were careful and followed all the instructions correctly, your test should be accurate. However, you may want to go to a pregnancy center and let them test your FIRST mornings urine.