Is it red, sore, itchy and generally nasty? Infection.
Tiny, hard, barely noticeable? Just a lump. Bit of scar tissue, usually. Rub it and it'll break down eventually. I've had a few of these.
Worst one was when they injected me where my belt usually sits. Hurt, took ages to heal with all the rubbing pressure (gotta hold the binder down with something).
If in doubt, get a GP or a nurse to take a quick look at it. It'll take them all of 10 seconds.
Most of all, don't panic. From what I understand, infections are pretty damn rare especially if you're using clean needles, wipes, gloves, and / or having a nurse do it.