It would be almost unthinkable for someone who is 14 years old to not recognize that the behaviors you have described above are not appropriate. It is called incest when related family members engage in sexual activity. Incest is unhealthy for everyone involved. It seems that you must have a feeling that this is unacceptable behavior by your asking if "we been doing sick things without knowing it?"
There are some parents who are slow to recognize that their children have developed (physically and emotionally). If this were the case with your parents, then it would be a good idea for you to try to talk to them about your own physical and emotional maturation. It would also be highly unusual for parents to allow a 10-year-old brother to bathe with his 14-year-old sister. This type of behavior typically occurs when a family having difficulties such as alcoholism or other discord.
So, YES, you should stop taking baths with your brother as soon as you read this! As we mentioned, it is not appropriate or healthy to have this type of sexual encounter with your brother. TeenHealthFX is very concerned that your parents have allowed you and your brother to take baths together at your ages. It is also distressing that they have not educated you about your sexuality and maintaining proper sexual boundaries in the family. Parents who allow this kind of behavior to continue need professional guidance and may face legal penalties.
TeenHealthFX strongly encourages you to seek out someone to talk about these feelings. Because of the mature nature of the topic you probably want to speak with someone like your doctor, the school nurse, the school counselor or a therapist. All of these professionals would be there to be supportive and help you understand what has happened and not too pass judgment on you.
If you live in Northern New Jersey, you can contact the Adolescent/Young Adult Center for Health at 973.971.6475. You can also contact the Atlantic Behavioral Health System's Access Center at 888.247.1400. Outside of this area, you can call the Rape, Abuse & Incest National Network for information about counseling centers in your area at 1-800-656-HOPE.