girlybuff is right. It usually takes a week or two to start working and side effects may take a month to go away and whatever you do,don't quit taking it c/t/ Talk to your dr and let him/her make the decision
I'm on zoloft. I love it, always had but I hear good things about effexor, cymbalta (which helps with pain at times I've heard)
Maybe ask tobe switched BUT what you have to remember about anti-depressats is that it can take up to 8 weeks to fully kick in and sometimes you need to work through the side effects for a few days or maybe even a week until it settles.
I would stay on it a little longer. You should start to notice a change in a few days.
Don't just stop taking it though. Talk to your dr.