You're right Carol, it doesn't stop you catching colds because colds & flu are two completely different things. "proper" flu can make you seriously ill, a cold although not very pleasant usually doesn't. I've had the flu injection for years now (as well as the pneumonia vaccine) and never had a problem other than a warm red patch and a bit of discomfort for a day or so, but that's just me.
Some people say that having the flu jab gives them flu which is impossible as it doesn't contain the flu virus, what actually happens is that the vaccine takes roughly two weeks to work so you can catch something after having the injection but before it starts to work, this is why people are encouraged to get it before the flu season starts.