All antidepressants carry some side effects when we first begin taking them. Your doctor SHOULD have gone over the most common side effects of sertraline, one of which IS feeling lightheaded. He/she should have told you this is a normal and very short term side effect.
One of the most important things those of us using antidepressants need to learn is patience. And the reason for that is because we sometimes have to try several different medications before we find the one that works best for us. But you must remember that every new medication is going to come with it's own set of new side effects. It's just a pharmaceutical fact of life with antidepressants. (Patience) Side effects go away. Some quicker than others. Some side effects don't go away or get worse and you need to switch. This is again something your doctor should have taken the time to explain to you about this genre of medication.
I suggest you call your doctor. Tell him that you felt lightheaded and have now stopped taking the meds. Nobody can force you to take them if you don't want to. Perhaps in your case, you should try therapy without meds for awhile and see if that works. It does for many people. If it's not helping enough, you and your therapist can talk about trying meds again.
You say you just want to feel better, as we ALL do, and sometimes that means adding a med to our therapy.
I have taken sertraline for several years now. I remember when I first began taking them, I too felt lightheaded and my mouth was dry as dust, and I slso felt a bit more tired than usual. Within two weeks, all those symptoms were gone and I slowly but surely began to feel a lifting of my spirits. I didn't like the side effects, but sometimes we just have to tough them out if we want the meds to work.