If you are talking about desensitization shots, having been through this with my child, these are things that worked:
-explain that the shots will help her/him not to have so many asthma attacks.
-the needle used for these is so small that many children never even feel it if they are distracted. you can even get the doctor to show it to the child if you think it will help.
-the shots don't go on indefinitely, they stop after an immunity has been built up. The immunity can last for years.
-making allergy shot day a special treat day for some favorite activity helps a lot, if it is dependent on their behaving well for the shot first.
-get the child to talk out their specific worries about the shots, and be honest in your response.
-some kids like a colorful bandaid with their favorite characters on them for their "owie".
-if your child will respond well, set her/him on your lap for the shot, but be firm while soothing her/him that this is necessary because you care about her/his health and well-being.
Neila222