All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad, sallallaahu 'alyhi wa sallam, is His slave and Messenger.
Congratulations for embracing Islam. We ask Allaah to help you and us be steadfast and make you and us from the dwellers of Paradise.
As for your question, know that it is unlawful for the Muslim to have any relationship with an alien woman except within wedlock. So, we advise you to beware of this girl in order to preserve your religion. However, we think that the advice you gave her was appropriate. May Allaah reward you for that.
Also, Islam, as you mentioned, is the religion of all the prophets. Indeed all the prophets called for monotheism and for worshipping Allaah Alone and warned against associating partners with Him. However, the Prophets’ Sharee’ahs were not the same. So, in things related to Halaal (lawful) and Haraam (forbidden), the prophets were dissimilar.
Nevertheless, the Islamic Sharee’ah has abrogated all previous Sharee’ahs. It is illegal for any person to follow any Sharee’ah that is not Islam. Allaah Says (what means): {And whoever seeks a religion other than Islam, it will never be accepted of him, and in the Hereafter he will be one of the losers.}[Quran 3:85] Therefore, anyone who is Jewish, Christian or anything else should now become Muslim, i.e. believe in Islam and in its Prophet Muhammad, sallallaahu ‘alayhi wa sallam . Muslim reported in his collection of authentic Hadeeths that the Prophet, sallallaahu ‘alayhi wa sallam, said: “By Him whom the soul of Muhammad is in His Hand, no one from this Ummah (nation), be he a Jew or Christian hears of me then dies without believing in what I was sent with except that he will be among the denizens of the Hell-fire.”
Allaah Knows best.