It depends.

If you have your own I797 (not your spouse's) with new I94 attached, and it wasn't taken by the VO during your visa interview. In such a case, you don't really need to get an I94 when you cross the border.

If you don't have your own I797, and used your spouse's I797 to apply for visa then you need to get a new I94 when you cross the border using the new H4 visa. In this case, if you didn't get an I94 then there is a problem. There could be two ways to resolve this issue. 1) File I102 to BCIS local office to get an I94. Please refer to the site, http://www.immigration.gov/graphics/formsfee/forms/i-102.htm for more detials.
2) Call the border custom office to see if it's possible to get an I94 from them.