I had shoulder pain last fall, that became so bad that I ended up going to an ER twice in one day for pain medication. (that didn't touch the pain at all)

It turned out to be adhesive capsulitis. (also known as Frozen Shoulder). Which is what it sounds like they thought your problem might be, since they offered you a shot of a steroid. Did they give you the shot of the steroid directly into the joint, or just into your arm like a normal shot.

I had to get three shots of cortisone directly into the shoulder joint the day the shoulder specialist saw me. (not as bad or scary as it sounds) That was the first time anything helped the pain. I went back one more time, and the doctor gave me another two in that shoulder, plus a couple in my other shoulder. I haven't really had a problem since then. I did PT for a month or so for it after that too.