Pregnant on Depo ?

Okay so I got my depo shot during the week I was ovulating (Nov. 22nd this was my first shot). I was pretty sure that I wasn't pregnant so I told my doctor that he didn't have to test (I was rushing to get to work) but the problem now is I've missed my period and almost EVERY woman I know atleast has their first prolonged period and then it stops. So basically I'm a little worried I might be pregnant... I also didn't know that if you didn't get the shot within the 5 days of your period it was recommended that you wait 7 days before having unprotected sex. Has anyone ever been in the same situation and got a BFP, was the baby okay, & what steps did you have to take?