Steroid Injections

Can anyone with steroid injection experience give me some heads up about them? Are they just like a shot that goes into your arm? Or is it like an epidural where it goes into the affected area? Is there a long process for it or do you just go into the room, get the shot, and you’re done?

Thanks in advance- had a neurosurgeon consult yesterday who wants me to try conservative options for a bit before recommending surgery but I am nervous.