Progesterone

Hi! I'm 9 weeks pregnant, this is my second pregnancy to get this far. I previously had 4 pregnancies including this one, 1 birth 1 abprtion and one miscarriage. My first pregnancy my son was born at 33 weeks, now the doctor is telling me I will need to have progesterone so I won't have another premature birth. Has anyone had progesterone shots before? I'm kind of nervous being that I never heard of it before.