I NEED HELP/ADVICE PLEASE

:-) • ♡ 23 • Pisces ♡
Alright, so I started the Depo shot last Tuesday (so it's been almost 2 weeks). Today my boyfriend and I had sex for the first time since I started it... Everytime he put it in, it felt as if I was "losing my virginity". Like there was a burning pain and I spotted a tiny bit after. And it burned while I went pee.. I was wet and everything though so idk.
And now, my vagina is sore. And it still kinda burns to pee. And I now also have a weird strong smell (idk how to describe it but it's not fishy or anything)... 
Has anyone else ever experienced this and know how to prevent/stop it?
(Also, my boyfriend and I are both STD free. We don't use condoms but we pullout. And we've been having sex for the past 6 months).