Allergy shots are a desensitization process aimed at decreasing the sensitivity toward a normal, or “nothing” response.
They are not treating the symptoms the way medications do– they are actually acting to prevent the allergic reaction from occurring.
Whatever you are allergic to is made into a serum which is injected subcutaneously into your upper arm using a tiny needle. Initially the injections contain small amounts of allergen; each subsequent injection contains larger and larger amounts to help induce tolerance.
Alternatives to allergy shots is Sublingual immunotherapy. This therapy is available for grasses, ragweed, and will soon be available for dust mite as well.