I'm going to assume you're using the Avonex pen (like me). Here is the advice my nurse gave me or I figured out from the advice I read about the pen.
Make sure your leg is relaxed and massaged before you inject, if your muscle is tense it's possible the injection site is too dense to inject the full ammount of fluid, causing it to overflow back out.
My nurse said wait 10 seconds before removing the pen after you inject but 10 seconds is usualy longer than people think it is, since there is no reason you couldn't count to 20, that's what i do. Just hold the pen perfectly still.
After the injection, massage around the leg muscle again to assist with it's dispersal within your leg.
The fluid leaking out isn't nessecarily the drug, the drug is within the fluid, to help it be administered into your body. Under no circumstances should you ever attempt to administer a second dose if you think you didn't put enough in, just accept it and wait until next week.
Also bear in mind, depending on where on your thigh you inject yourself, your leg has a natural curve, if you inject below the curve (you can) then gravity will likely cause more blood or fluid to leak out simply due to the angle of the hole. If you inject above the curve, you likely will bleed very little since gravity is working for you by having the hole above.
Ideally, you should be injecting in 4 locations in a noted rotation, 1 left back thigh, 1 right back thigh, 1 left middle thigh, 1 right middle thigh, per month. I avoid the knee area altogether since there is less muscle there and it has to be the big thigh muscle to absorb the drug.