Depo Perva ( Birth Control Shot )?

I started my menstrual on Wednesday evening and I went to the clinic on Thursday ( The nxt day ) , I was given my first Depo shot , and was told to wait 7 days for intercourse , but also I told her I was menstrating and she said that is a good time to get the shot. Okay so does it work immediately since I was on, or do I have to wait 7 days.