Does oxyelite pro, a diet and weight loss supplement work? Does it is have any side effects?

Unlikely to work. Diet supplements are a big industry but don't really work. One's desire to eat can be much stronger that a supplement's power to decrease his appetite (or "burn fat"), so he will likely continue to eat too many calories. Also, diet supplements don't increase one's desire to exercise. If something as simple as a diet supplement was effective, we would not have so much obesity today.