Depo-Provera is immediately effective if she received her first shot during her period, and if not - it's effective withint 7-10 days after her first shot. By her third shot, there's certainly nothing to worry about.
As you've probably heard a million times, no birth control isn't 100% effective, but there really is no need to go spend a bunch of money on Plan B when she's already on Depo.
I'm on it, and my boyfriend and I never use a condom. We've yet to have any problems. So, take it easy. :]