Ask the GP to refer you to a good outpatient physio. If you like weights I would not go for a cortison injection if the injury is to a tendon as this weakens it in the long-term. Also consider not doing lying triceps extensions at all as they are not necessary i.e. they are an abnormal movement for the elbow. Push-ups, dips, push downs, close-grip lat pulls to the front and normal upper body work would be enough to give you great guns