DH and i are older parents and have quietly joked that a teen pregnancy for the DDs is the only way we'd get to be young grandparents.
Not the end of the world. I'd rather they didn't get pregnant (or have sex) at 15 but I would support them whatever they decide.
Abortion route: Hand hold, hugs, go with them. Talk afterwards, watch for mood, pay for counselling if they're having difficulty with their decision. Work out what their contraception will be going forwards with them/GP.
Birth route: Try to keep them in education and taking exams. Offer childcare assistance, but guide them through the practicalities of being a parent; work/life balance a little early. Separate off a couple of rooms for them+baby to have space (we're lucky to have a couple of spare-ish rooms as we extended the original house). I'd be disappointed for them, not at them. All that commitment so early in life. But at least they won;t be approaching 50 with primary school aged kids and no energy 
I took infant DD1 to the cinema. In the toilets a young girl asked if she could hold her and I passed her across. The girl said she was pregnant and she'd mucked up her life and school. She was 14 and the roundness was well and truly on the way. I was taking a degree (at 37) and asked her if she thought I was too old to start a career. When she said no, I pointed out that by the time she gets to my age she'll have a university aged child and maybe she's got to slow things down now, but she'd thrown nothing away. Just do it the other way over age wise. I often wonder how she is now and hope it's working out for her.