First, Unga - it takes one week for the pill to become effective if you've not taken it before.
StormBerlin, I'm with the others - if depo is making you fat and especially if you're periods have stopped or slowed to a trickle, I'd stick with it. Most of us want as low-dose a pill as we can take and while that may be great for our bodies, it also requires that you take it about the same time EVERY DAY. For some that's hard and it can also be hard to remember. Even skipping one dose can mean a happy little fertilized egg... Plus, if you take antibiotics or St. John's Wort while on the pill, they can negate its effects so you will have to use back-up birth control during that time (translation - hassle). There's a new very low dose pill out there that is supposed to be pretty good - learn more about it here:
http://www.orthotri-cyclenlo.com/.