It's every day. Believe me, it is just not as big of a deal doing it as thinking about it.
First of all, you may get the suppositories and not have to do PIO, but if you do, trust me, I was more scared than anyone. It looks so scary, but you hardly feel a thing! Honest! After a few weeks, you do get sore the next day, but the shot itself rarely hurts.
My DH and I have a ritual -- I put some lidocaine on the shot spot and cover it with saran wrap for a half an hour and we watch a show, then I swab it with alcohol, lie face down with my toes pointing in, and he shoots me -- I have also done it myself a few times, same process. Then I press on the spot gently, and place a warm compress on it for about 15 minutes, then massage it.
Warm compresses and massaging can help keep lumps from forming and you are often less sore the next day.
You will really be shocked the first time you do it, that if you are shooting in the right area (a nurse should mark you, or you can look at the video), you just really don't have a big problem. After enough weeks, you get sore, but the shots don't really hurt.