I can't stand the new medication I'm on. Please help?

I have had depression for 3 years now, and recently i got taken off my usual medication caused by an incident. The new medication I am on is Lexapro, and it is effecting me too much, but when I ask the doctor to change my prescription, he says it is not allowed, i either have to take the medication or go to a counsellor which i don't want. Side effects include, weight gain, no libido, shakiness, less sleep, and more. even if you could tell me how to make the side effects less intense, it would be greatly appreciated.