Like Moo said, Depo is some strong and effective stuff. You're usually protected against pregnancy within 24 hours of getting your first shot. However, you mention having sex the 4th and the 6th, I believe. That means that you might have been cutting it close on the 6th, and I am not sure what you used for protection on the 4th, so I can't say that pregnancy is impossible. Also, even though Depo is very effective, no method of birth control is 100% effective even when taken as directed, so there will always be some risk of pregnancy.
I would tell your ob-gyn about your symptoms if they stick around just in case, even if you end up testing negative. Your doctor should know about any symptoms you have.
Also like Moo said, you can test, wait a bit, and test again. It takes many women a few tests before they finally get a positive.
Also, I want to point out one more only slightly related thing in case you were not aware of it. Just within the past couple of years the FDA said that women should not take Depo for more than two years unless for some reason they can't use other methods of birth control. Depo is really strong stuff. It stays in your body for quite a while, and actually can cause irreversible damage to your body. If you weren't aware of that, talk to your doctor about it to find out more information, if you think you want to continue Depo, and what you can do to try to keep your body healthy if you do continue Depo.