Depro-vera......help!

I recently was taken off of the shot becuase it just was not working with me. My hair began to get thin and i was not fond of it. I took the shot in October, 2nd shot, so my next shot wouldn't be until Jan. However, I went to see my dr. the 2nd week of December and that day, he put me on the pill starting that day. This is my first time ever being on the pill. That week, i had unprotected sex with my bf. Was the shot still in my system? I am just scared that it wasn't and that the pill hasn't gone through my system and i might be pregnant? while on the shot i has my period for a whole month straight. Three days after i started the pill the bleeding stopped. I'm stressing myself thinking that i am pregnant right, because the depro-vera was still in my system was i had unprotected sex three days after i started the pill... right? I know i read in the directions for the pill that you should use protection the first 7 days of taking the pill, but i was already on the shot, so i didn't think it was a big deal. I'm not on the sugar pills and my period has not started? Is everything ok? HElp please... thanks! if u read... please post what u think. thanks