Generally, I'm most comfortable with female gynos but I've been seeing a male doctor for the last four or five years. He has a really good bedside manner and takes the time to explain everything before he does it: this will be a little cold, you will feel a little pinch, you might feel a little pressure when I...
For an exam the doctor will come in and discuss why you came to see them. Then they will leave the room so you can disrobe. You will take off everything, including the bra and put on a hospital gown so that it opens at the front. The doctor will return and tell you how far up or down to lie on the table. If you have a male doctor, there will be a female nurse or assistant in the room as well. The doc will place a little lubricant inside you, then insert the speculum which wil probably be ICE COLD. (One female gyno warmed mine up for me- hated to see her go but she changed practices.) Then he will take a swab of your cervix, the back of your vagina, with a long Q-tip. This is your pap smear. The sample from the swab will be tested for abnormal, precancerous or cancerous cervical cells. Then the doctor will insert two or three fingers into your vagina and press on your tummy. Next, the doctor will give you a breast exam. Then the doc will leave so you can undress. They will return and discuss any prescriptions or follow up appointments. You should get a call within a week to let you know if the pap smear was normal or if it was abnormal. If it is abnormal, you will need to come back in for an additional procedure similar to a pap smear called a colposcopy.
I can't tell you how to give yourself a shot. When I was on the depo shot I would have mine done at the doctor's office.