Are you using the little comb to make sure you get all the eggs? The eggs don't all die with the shampoo, so you have to comb them out. Yes, I'm sure it's painful to do it down there, but otherwise, they'll never go away.
Did you vacuum the rug really well, too? Put the pillows in an air-tight plastic bag for a month (or how ever long it takes them to die--check on that). You could have someone check your scalp for them if you think that is infected, too.
Also, could you be re-infected by the person who gave them to you?
As a last resort, you could just shave it all off.