It can be hard to tell. Directly after conception, the female mouse will have a mucus "plug" in her vagina, but it falls out within twelve hours or so. After that, you just have to wait until the mother mouse starts to show, and a few of them never really do, if they have a small litter. However, when female mice DO show, it's usually spectacular--they start to build this huge bulge around the middle, and by the time it's time to give birth, they look like they've swallowed a golf ball. It's pretty hard to miss then.
You can also sometimes tell a female mouse is pregnant by gently pressing her tummy from both sides and feeling the babies inside, but it's too easy to hurt the mama or the babies when you're doing that. Most breeders recommend just waiting.