Lynros,

When I had IUI I injected Gonal F from day 5. Then went for scans to check my follicles. When I was ready to ovulate I took an injection 24 hours before to encourage ovulation and then the next morning you go in with DH sperm which they purify, then they insert a tiny catheter into your cervix and inject the sperm straight through. It is not painful just uncomfortable like a pap smear.
The only issue I have with it is that sperm may only last 12 or so hours inside you but your egg may not release for 24 hours so it is better to go as long as possible before the IUI process so that the egg is hopefully already relesased when the sperm is put in.

Good luck