How common is it for a woman to loose the baby they are carrying, through natural miscarriage?

Quite common. There are certainly multiple factors that can contribute to a woman's miscarriage risk (ex.: age). Nevertheless, about 25-50% of pregnancies by approximately 6 weeks from a woman's menstrual period will spontaneously end. For those women who actually know they are pregnant, roughly 15-20% will recognize they had a miscarriage. Take heart: as the weeks pass, miscarriage risk decreases markedly.