5 weeks and just nothing (good or bad) should I persist with this med?

Started on 20mg and, after four weeks, I wasn't really feeling any better but was no worse so my pdoc suggested trying a higher dose. I've been on 40mg now for five weeks and it's the same. No bad side effects (beyond some initial increased anxiety) but it doesn't feel like it is doing anything. Has anyone found it didn't start working at all until six weeks or longer? I know it can take that long to reach the 'full effect' but assumed I would feel some benefit by now, if it was going to help at all.