Ive been through two different classes at two different clinics. Both showed how to disinfect, use syringes, needles, measure, etc. They showed us how to draw up with one needle, then change the needle for the actual injection. We never actually did a water injection or an injection on me whatsoever.
If you are getting PIO (progesterone in oil) then you definitely will want DH there paying attention because he probably should be the one to give them to you. I understand it can be very tricky to do those on yourself. All of the other injectibles you should be able to do without his help, although it doesn't hurt to have him pay attention to EVERYTHING in case you question anything later. Take notes if you're worried, and ask anything and everything you need to in order to feel confident. There is no such thing as a dumb question in this class! :)
Between the class and online instructional videos, you'll be fine - I promise. It's SO much more intimidating and scary than it is in practice. Good luck!