While I can imagine how upset you would be at this, I STRONGLY disagree with other answers here.
Just because your son is having sex does not make you a bad parent, or mean you didn't parent him well. While, at 12 years old, he really should know about condoms and all that, it doesn't make this your fault. So you should know that. I'm sick of reading questions where all people do is bash the inquisitive person.
Secondly, punishing him, while it might seem like a good idea, may be counter productive. Do you remember when you were a kid, and everytime you weren't allowed to do something you wanted to do it even more? Kids will find a way to do things. Your best bet is to give him all of the information on why he shouldn't being doing it, tell him he's not allowed to, and if you find out again he will be in trouble, but that you hope in the future he will at least be safe about it.
I would suggest calling her parents, and not leaving your son alone with her. But you should also only call them if you know how her parents are. They could handle it completely out of control. That would not be good either.
Don't yell, the second you start yelling, he will stop listening.