The birth control shot.

So I've been on the shot for at least 3 weeks now. And sunday night my bf could of came inside me. It was a heat of the momment thing n we didn't use a condom. How effective do you guys think this shot is?Should I be freaking out or not worry about it? Also is it normal that my period is late because of the shot. I know im not pregnant because I got a pregnancy test before I got the shot. Help me out here