Suggest Treatment For Swelling In Arm Caused After Taking Progestrone Shot

I received a progestrone shot in my arm for preterm pregnancy. Now it is swollen - The Doctor said something about it going into my vein. He gave me antibotics, i am taking tylenol and icing down the arm. When I ice down the area it helps but It swells right back up and it is starting to bruise. Is this normal?