Progesterone Shots?!

Can anyone of you females help me... so I'm high risk and I've had went into premature Labor back in February of 2016 then I got pregnant again and had a miscarriage in October of 2016, I just found out I'm pregnant again BUT the doctor said I'd have too be put on Progesterone shots now my concern is do they hurt? I'm use too getting my blood drawn and shots but I've never had these?! So I'm very nervous but if anyone can help me all commments are helpful and will of course ease my mind a little.
1. Do they hurt?
2. Where do they inject it?
3. Do they give you after symptoms?