What Causes Fever, Sinus Pressure And Sore Throat?

I went to the doctor today with cold/flu symptons i.e. slight fever, sinus pressure,sore throat. He gave me a steriod shot in my butt and sent me home with a Z-pak. Told me to take the Z-pak only if the symptoms did not get better. What was the steroid shot he gave me do? Are the any side affects for taking this kind of steroid? I am feeling better. A.carr