Is there any time that I should not use the contraceptive sponge?

Yes. You should not use the contraceptive sponge during your menstrual period because of risks of toxic shock syndrome. You should not use the sponge if you have an allergy to sulfa or nonoxynol 9 spermicide. For other questions regarding the sponge, please see their website at http://todaysponge.Com/faq.Html and http://www.Todaysponge.Com/answers2.Html.
Sponge. Theoretically you should not get pregnant while on your period. So i would say that this is the time when you less need to use it.