A sharp material went through my nails, what do I do ? I think I punctured a vein?

I was cleaning out my chain on my bicycle, then my dog peed on the floor and I lost focus on cleaning the chain for a moment and my hand moved to the right a bit. The rear COG on my bike ( it has sharp teeth ) went through my thumb nail and punctured my skin. I had a tetanus shot on Feb. 2nd 2011. It has a punctured mark and I am bleeding heavily, It became numb and throbbing, so I poured a bottle of alchohal to disinffect it, but the opening is too small, so a little alchoal went in. My who thumb including the finger from tip to my wrist hurts really badly.. it is hard to type... should i consult a doctor immedietly? Will i di ? from a punctured vein ?
 
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