SSRI stands for selective serotonin reuptake inhibitor, all those drugs selectively block the reuptake of the neurotrasmitter serotonin allowing its levels to build up in the synapses.
Why are they called selective? Because they do not have, contrary to other antidepressants, a "dirty" pharmacology (wich is not always a bad thing), wich means they don't do much more than inhibiting serotonin reuptake, thus having in theory less side effects (and efficacy, they're just a little superior to placebo).
There are some differences between them altough they're not very important (in fact if treatment with a SSRI fails, changing it will probably not make things better).
For example half life, an SSRI with a short half life, like Paroxetine, will reach steady blood concentrations sooner than one with a very long one like Fluoxetine (Prozac), this means that it will kick in faster but the whitdrawals will be generally worse too.
The dosage needed to reach therapeutic potential, wich means a blockade of SERT (serotonin transporter) between 80-90%, varies between drugs.
Other actions besides SERT blockade: Sertraline (Zoloft) in high doses can increase dopamine levels too, Paroxetine is a weak anti-muscarinic, Fluvoxamine is a sigma receptor agonist and so on.
Ask your doctor to switch AD class, even a SNRI would be better than trying another SSRI.
