http://parenting.ivillage.com/pregnancy/psafe/0,,midwife_3pkb,00.HTML
Hope this helps! Belows answer scared the bleep out of us!!
Well considering a doctor would never ever give someone this needle while she was pregnant, you have to get a pregnancy test done before each needle. The result of taking depo while pregnant could possibly cause deformities or even worse be fatal. This should never be a concern though for a woman if she has a good doctor, and if you feel you are pregnant then you should definitely go in and get checked.
But not all doctors will do a test, unless you have mentioned to them as having unprotected sex in the past, depo causes high risk premature births