the bleeding from the period is from the sheding of the lining, the egg would have died about 14days previously (plus or minus a few days) so no egg there to worry about.
You can get pregnant from early in your menstral cycle but it is not usual unless you have short cycles and ovulate early. Ovulation normally occurs about 14 days before your next period, approximately. The egg is only fertile for 72 hours, but can be fertilised from sperm from upto 7 days previously, but normally you have to have had sex near to the ovulation time.
Therefore if you have a normal 28day cycle you might ovulate at around day 14, but you could become pregnant from day 7. However ifyou have shorter cycles you could theoretically become pregnant from having sex earlier than this, around day 5, but this is extremely unlikely.
Also - if you are protected from the pill immediately, then why are you still worrying.
If you are actually that worried then get yourself back to your chemist as soon as possible and take the morning after pill that is effective for more than just the morning after...... Not sure why the chemist did not suggest it.
Finally, the pill can make you drier!!!!! So therefore looks like it must be working!!!!!!