Suffering from mild depression doctor prescribed fluoxetine, took it and my headaches are gone stopped taking it for its side effects is that wrong?

Neither wrong/right: but of concern if you haven't spoken with the prescriber. All medications may have side effects, and some of them can be minimized, or will decrease over time. Prozac, for example, is stimulating and if taken late in the day can cause insomnia, but this is usually not a problem if taken first thing in the morning. For mild depression, psychotherapy can work well. Please talk to your physician.