I have been having frequent headaches for 3 weeks. my doctor told me it was a migrane and he gave me a shot and some medications that is not working. ?

See a neurologist: There are many types of headaches, including migraines, cough, cluster, occipital neuralgia, muscle strain, etc. Keep a log of the timing, duration, severity, characteristics, and location of your headaches. Also try to identify any headache "triggers" (stress, not sleeping/eating). Take this information to a neurologist. http://www.nlm.nih.gov/medlineplus/headache.html