Most likely this is a viral infection of the upper respiratory tract that has to run its course. All that you describe are common symptoms of such an infection. If this persists or gets worse, it is possible it is due to a sinus infection that was not affected by the azithromysin and another antibiotic needs to be tried.
Go call your doctor first thing Monday and check in with him or her. It sounds like you have a sinus infection, a uri, or maybe bronchitis or a combination of the 3. I understand that just because you're on your last zpac doesn't mean that the antibiotic is going to leave your system immediately. It takes a period of time for an antibiotic to build up in your system and start turning the tables on an infection. Likewise, the antibiotic doesn't leave your system right away--even after you've stopped taking it.
Infections in your respiratory system are nasty because they're basically crammed into very small tubes and spaces that makes them more difficult to fight. So sometimes it takes longer to get better--even with an antibiotic in play.
I recommend that you check in with your doc on Monday because it maybe that he/she may feel that you need another run of antibiotics. Also ask your doctor about "nasal lavage, or nasal douching." I know it sounds nasty, but flushing all of that nasty stuff out of your sinuses will give you immediate relief and will help you fight the infection. Psychologically it's nice to know that you have the power to help your immune system do its job instead of just sitting around waiting to get better.
I talk to a lot of people with sinus problems and many of them are afraid of the lavage. Ask yourself, if you had an infected wound on your arm, wouldn't you wash it and keep it clean? If so, why wouldn't you do the same for your sinuses?
Here's a little info on lavage...
http://www.mayoclinic.com/health/nasal-lavage/MM00552
When you call your doc on Monday (really you should) ask about the lavage. You'll be glad you did. Good luck, and feel better.
PS...the steroid your doctor prescribed you is going to help a lot too, but like the zpac it may take a little while to really make a difference. It's going to reduce the swelling in all of those tubes in your respiratory system and help you clear it out quicker.