Best of luck to you!
I started Avonex this week... although it's not the same drug, I can relate to the stress of starting a new drug - especially one involving a needle!
I found that injecting for the first time was a little like cliff diving... you know that all you have to do is cover that distance (the last step off the cliff, or between the needle and your skin), but you really just wish someone would push you. You can do it though - it wasn't as bad as I expected, once I had "taken the plunge."
I took 800 mg of ibuprofen prior to the shot, stayed very well hydrated, and had remarkably few side effects. I hope you'll have the same experience.
Hang in there...