I need some information about what I have to say and to do, when my baby comes to the world. I'm looking for some Du’a.

Praise be to Allah, the Lord of the Worlds; and may His blessings and peace be upon our Prophet Muhammad and upon all his Family and Companions.

There is no particular Du’a that is said when a baby is born.  However, the person should thank Allah, and express his gratitude to Allah on giving him/her a child, which is a great blessing of Allah.  The right of Allah for this great blessing is your appreciation and expression of great gratitude to Him.  Allah Says (interpretation of meaning): {And (remember) when your Lord proclaimed: "If you give thanks (by accepting Faith and worshipping none but Allâh), I will give you more (of My Blessings),…}[14:7].

One should always supplicate Allah to grant good guidance, steadfastness, bounty and blessing for his children.  Allah Says (interpretation of meaning): {….and make my off-spring good….}[46:15]. Allah also Says (interpretation of meaning): {“O my Lord! Make me one who performs As-Salât (Iqâmat-as-Salât), and (also) from my offspring,….}[46:15]. Allah reported from Ibrahim that he used to make this Du’a: {“O my Lord! Make me one who performs As-Salât (Iqâmat-as-Salât), and (also) from my offspring, our Lord! And accept my invocation.}[14:40].

Allah knows best.