I have been on Depo for 8 years now. Granted that is a long time, but frankly, I am enjoying the No Period thing, No PMS thing adn everything else that goes along with That Time of the Month. The only side effects I have noticed are the weight gain and calcium depletion, both of which are minimal. I think with every drug you take, you have to take it with a grain of salt. Everyone can react differently to drugs. I have actually done some reasearch on Depo and long term effects and while I did see horror storys like the one above, but it seems like the good always outweighs the horrible. If you start Depo and don't like the side effects, dump it and try something else, the same as you would with something as simple as Tylenol.
Anyway, regarding weight gain and Depo, I can tell you that in the 8 years I have taken it, I have gained 20 lbs. I began Depo the day after my daughter was born, so I was still fat from being pregnant (at the day of the delivery, I weighed 192. Being honest and subtracting baby and extras, I think I went back down to around 175. (btw, I am 5'8"). At my highest a few months ago, I was 203. I am currently at 193 and losing. Sure, just a diet alone won't help you lose, just like going to the gym once a week will either. I haven't really cut anything out of my usual diet--I still eat pizza and brownies and all that as I used to, but now in moderation: 1 brownie instead of 2!
I go to the gym on my lunch break 4 days a week. I do strength training first, focusing on abs/back/thighs/legs/triceps, then I do 10-15min of cardio,usually upright bike, 9mph, resistance around 4-6. Since 2/2, I have lost 3 1/2 inches (1 from waist, 1 from hip and 1/5 from thigh). Sure, maybe it would be easier to lose w/o Depo, but w/o Depo, I get another baby, and then when would I have time to lose weight? (being facetious here, no one send hate mail calling me a baby-hater
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Hang in there with the birth control thing. Good things never come easy to begin with, and if you lose while on BC, there is just a greater satisfaction of knowing you 'beat the odds' so to speak!