Progesterone shots??

Me

My second born was a preemie. When I got pregnant with my third baby my ob didn’t have me do the progesterone shots for some reason. Never even mentioned them to me. Now that I’m pregnant with my 4th baby my new ob said I have to do this so I don’t have the chances of having another preemie. I don’t know much about these shots or the side effects. I’m suppose to start them this week. I’m 13 weeks and 4 days. Can anyone give me any info on these shots and the side effects?