Hello there, hippiegirl. Welcome to Scarleteen.
The Depo shot fully protects you after the 7th day, but always keep in mind that though you are protected against pregnancy, condoms are the only way to protect yourself from STD's.
Having the Depo shot does NOT guarantee that you won't have you period. Some people experience lighter or even the lack of periods but for other people periods can be heavier. If you let me share a persona experience, for example, I had to change to another method because it would make me bleed non-stop for 6 months. Not saying this to scare you, of course, just to give you perspective of how bodies are not the same and they react different even when they are exposed to the same things/medicines.
When you are on the Depo shot, once you are ready for the next shot they will make a pregnancy test before giving you the shot. So, that's one way you can know pregnancy didn't happen. Honestly, the other way to know that you are not pregnant is... well, because you just don't pregnant. It can sound like a joke but actually the only way to know that a birth control method is working is because you are not getting pregnant.
Bleeding can be caused for lack of lubrication or maybe -- if you are using your fingers -- you are not cutting your nails. The skin of the vulva and the vagina is very delicate and it can get hurt very easy. Using lube and sometimes latex gloves can help a lot.
Also, are you up to date with your STI's screening? Sometimes bleeding can indicate some kind of infection so is always good to test if you are sexually active.
For more information about the Depo shot, I'm going to leave you the next link:
http://www.scarleteen.com/birth_control ... po_provera
If after reading that you need more information or clarification don't hesitate to ask.