How do you get rid of anti-depressant caused headaches?

I'm on anti-depressants right now and my doctor told me that I might get headaches and they usually go away after a week, but sometimes they stick around. Apparently this is the case with me. They aren't bad, but I can't seem make them stop either with Advil, aspirin and the like. These pain killers have never really done much for me anyway. Has anyone else experienced this? And my main question, anyone know a way to stop or alleviate it other than what I've tried or stopping the medication?