I have been on Effexor (venlafaxine) for almost 4 weeks and have breathing problem. What should I do?

Call your doctor. It is important to be able to explain to your doctor what kind of breathing problem you are having. Usually it comes from having more anxiety or if you are being treated for anxiety you need a higher dose. In very very rare cases if you feel your muscles are too stiff that is a serious side effect and you need to seek help sooner.
Effexor (venlafaxine) Not sure what dose of Effexor (venlafaxine) u r on, but check your blood pressure and contact your doctor for followup.
It depends. It really depends on what kind of breathing problem you have. Anxiety can cause a feeling of not getting enough air in, but so can lung issues like asthma, bronchitis or pneumonia. You need to communicate with your physician to determine what's causing your breathing problem and the next step.