I've been dealing with hip pain but have learned a LOT about steroids, pain, solutions & problems.
I would go to another doc who WILL order an MRI before you start taking steroids. I ignored this same advice and took steroids--only made the problem worse (I took oral steroids, which are WORSE for your body (long story why I chose them), but the steroid shots are WORSE for the area being injected.
http://well.blogs.nytimes.com/2010/10/27/do-cortisone-shots-actually-make-things-worse/
http://www.ideamarketers.com/?articleid=1066622
The problem is that you may not have inflammation. I am not trained in the medical profession, but I have talked to lots of professionals at this point (desperate for help) and read a TON and anyway IF you have microscopic tears to any of your connective tissue--the cortisone WILL NOT work, and it will actually make things worse. I ignored advice to get an MRI first and, like I said, I think the problem is worse now.
You might also want to thoroughly read the website of Dr. Ron Hauser, prolotherapy, caring medical. I haven't received prolotherapy but it is the only treatment for unsubsiding pain that sounds like it has actual promise. I have read horror stories about surgery--yes--surgery can go well, but it can also ruin your body and running forever, for good, period. So I wouldn't risk surgery if that's what you need, but again I know you aren't even thinking surgery, you are just thinking what's wrong--that's where I was a few months ago. Get an MRI. Stupid that he wouldn't order one, IMHO. I had a doctor tell me: why go shooting steroids when you don't KNOW what is wrong. He was correct and I should have listened to him. When I finally had the MRI, I realized that I had a torn labrum (equivalent to a torn miniscus in the knee). If you have torn or frayed tendons or ligaments or that sort of thing, steroids will NOT touch them and in fact steroids damage them further. Get another doc and get an MRI.