I have been on effexor for the last 4 months and am now on a dose of 225mg a day.
When I first started the side effects I experienced were:
These side effects dissappeared within a few weeks. I still get the shakiness now and again but everything else has settled down and I have found the medication very effective.
I hope you start to feel better with it. If you are concerned, speak to your doctor. When I read the leaflet, frequent urination was listed as a side effect. It should go away after a few weeks.