I am on Betaseron which also comes with an autoinjector. The nurse who taught me made me learn how to do it both ways which I'm glad about.
For the first while I used the autoinjector because it seemed less scary. But I tried manual injections, and I now find them much better for me. The autoinjector seemed to force the medicine in very quickly, which was painful. Doing it manually I can inject the medicine slowly. Like Michelle said, it's the medicine that burns a bit, not the needle.
I didn't notice any difference in the injection site reactions or bruising with either method.
It is totally normal to be nervous at first. But I'm sure in no time you'll just do it and not even think about it anymore You'll feel better once you see the nurse, and can see for yourself how simple and quick it is.
Best of luck,