Give it time. My shots for my peanut allergies took almost 4 months to kick in. However, my pollen one took about 6 months (granted I only got a shot every other week, but still). Everyone's bodies respond differently so it may take some time. Also, if your body is trying to ward off anything else, or if you are on other medications, those may alter the time frame as well (according to my doctor).
If you are truly concerned about the duration of not seeing any improvement, take it up with your doctor. They are there to help.
Best of luck!