What Are The Side Effects Of Cortisone Shot?

I got a cortizone shot in my right shoulder on Friday. Today I am wheezing from my right lung. I have never wheezed before in my life. It is only in the upper right lung that I am wheezing from. Also now, my voice is going hoarse and my esophagus is tight near the sternum. I heard one of the docs in my office won't give shoulder cortizone shots because it is too close to the lung. Should I be concerned????