Nicky I'll try and do you a breakdown of who knows what about what but it's different book to show so might not be entirely accurate... 
Jon : knows Robb and Cat are dead, knows Sansa is alive (and in the books knows Bran is alive), presumes Arya dead and presumes Bran/Rickon dead (series)
Sansa : knows Robb and Cat are dead, believed Bran, Rickon, Arya dead (now knows they're all alive) knew Jon was alive. In Books still believes her younger siblings dead
Arya : knows Robb and Cat are dead, believes Bran and Rickon are dead, thinks Sansa is married to Joffrey, doesn't know he's dead. Knows Jon's alive.
Bran : doesn't know Robb and Cat are dead (at least not in the books) believes Arya and Sansa are at Kings Landing. Thinks Rickon is on Skagos (books) with the Umbers (show) knows Jon is alive
Rickon : pretty much the same as Bran, though in the show it's obvious he must "know" that most of his family are dead. And of course that Bran is North of the Wall.