What happens at an ultrasound scan?

Ok, so I went to my doctors (in UK) again and they did a pregnancy test which was negative. My doctor is worried that I haven't come on my period yet (last had a period on 3rd April and started Cerazette the same day, last had on 14th May and came off Cerazette on 16th May, had spotting for about a day about 2 weeks later and nothing since) and am displaying almost every sign of being pregnant. He has now decided to take a blood pregnancy test of which I should have the results on Friday. However, he is also arranging for me to have an ultrasound next week and to have a l probe?!?! Has anyone else experienced this and what do these scans/probes entail?