Depo-Provera - Do you have to insert the entire needle into your arm when administering the deposit?

You need to make sure there is no air in the needle, once you've drawn the solution into the syringe, by holding the full syringe in one hand, needle pointing upwards into the air, & tapping the side of the syringe with a flick of the middle finger off the thumb of your opposite hand. You'll see any air bubbles rise towards the point of the needle.
Then, squeeze the trigger very gently until a tiny bit of the Depo Provera starts to squirt out a little from the end of the needle, which removes any leftover air inside the syringe. Just enough to show that there is no air left in the needle, just fluid. This is very important.
The Depo Provera shot is IM, which means intra-muscular. This means it's got to be put deep into the muscle, & not just under the skin.
Depo Provera is an oil based solution, which can be quite painful if put into smaller muscles, so is best given into your buttock. As the buttock is a big, deep muscle, you feel it less over the next few days, & you can also get the needle in nice & deep, without hitting anything other than muscle.
The oil solution forms a pool deep inside your muscle, & is released gradually, over the 12/13 weeks.
It's important to swap buttocks every shot, otherwise you can end up with one side becoming concave from the shots. It happened to me! It does go back to normal once you stop, though.