Long headache

I've had a headache on one side of my head for a whole week now.  It's really annoying.  The pain is not horrible, but persistent.  I've also felt nauseous.  Today I finally went to the Doctor.  She ordered some blood work, an MRI (December 23rd), and gave me a shot of for migraines.  She said if it was a migraine, that this medicine would clear it up, and then we'd know for sure if it was a migraine or not.  Well, they didn't warn me about how bad the shot would hurt.  Oh, wow!!  I have never had a shot hurt that bad.  It went deep into my muscle, and it hurt.  It brought me to tears.  I couldn't lift my arm or hardly move my arm for hours.  And if that was not bad enough, it didn't work.  Looks like it was not a migraine.   I really hope I/they can figure out what's causing the headache soon.