Hi Sonshine, i am also from Canada and also have an Rx for Effexor, but I haven't filled it because I am terrified of all meds, and have never taken anything more potent than a Tylenol 3.
Obviously I can't tell you whether you should take the pills since I don't know your situation but i do think everyone needs to go with what they are comfortable with. Have you tried the CBT program on this site or thru a local provider? If not, you may want to consider that first or in addition to the medication.
Good luck! This site will help lots too!
Caitlin