It's a very common side effect. It doesn't happen to me (for me, I've found my sex drive increases with antidepressants and orgasms are easier) but that doesn't mean I don't know about it. There are a couple things I've heard about, adding wellbutrin might help, changing dosages or switching to another antidepressant. Definitely talk to your doctor though, ya, it is embarassing because he's a doctor after all, but he is a doctor and probably heard a lot worse from other people.

Of course, since you've only been on it a month, I'm wondering if maybe it's still a residual depression/anxiety effect, I mean, it's not working to it's full potential right? So if you're still depresed and anxious enough, it might be affecting not your sex drive, but your ability to achieve orgasm. Especially for women, it's not that easy to do, you've got to be relaxed and really into it and what not.

You know yourself best, but a little chat with the doc might not be a bad thing.