I hads similar treatment - a steroidal (as oposed to non-steroidal i.e. nurofen etc) anti-inflamatory injection for my right shoulder that was giving me grief for years. They suspected bursitis. Result was jack s**t of differance.

Up intil that point I had only had x-rays and ultrasounds to identify the prob. The breakthrough came when I finally has an MRI... "hello what have we here?" An impinging bone growth that didn't show on a lesser resolution image.
After 5 years of pain, I finally had an answer. A quick 'key-hole' acromiaplasty (basically getting in one side of the shoulder joint with a glorified drill bit/vacuum and a 'lipstick cam' in the other) to grind back the bone (got a great video of the procedure - look at that bone fly baby!!) and a few months later 90% as good as new.

Not as painful as I thought in the 1st week after too.
I highly highly recommend Dr Peter Campbell (a shoulder specialist) he is rated as the best in Perth for this. He did mine at St John's in Subi but I think he also does the gig at Murdoch?
As my left shoulder is folowing suit (bloody rubbish genes) I am holding off until the end of the coming kite season to get the same done. Can't wait....

Good luck bud. If you don't get answers or results push for an MRI.