The (often frustrating) thing about the SSRIs is that it can take 4-6 weeks at the theraputic dose to see positive results. In other words, we need to be patient with these meds before moving on to something else.
As already mentioned, what works for one person will not work for another, so it is a trial-and-error process. Sometimes people will get lucky with the first med.....sometimes a person will be on the med-go-round for months before finding the right medication/dosage.
Going from 10mgs to 40 does sound like a bit much. I would stick with the Prozac at 20mgs for a few weeks and see how it goes. Of course we can have an adverse effect with these meds (increased anxiety with a medication that is supposed to reduce anxiety), so if it isn't helping after a solid 4-6 week trial, then it is time to give another medication a try.
For what it is worth, Prozac has the longest half-life of all the SSRIs and is therefore the easiest to discontinue. Many doctors are getting in tune with cross-tapering with Prozac to discontinue some of the anti-depressants with frequently harsh discontinuation symptoms (such as Paxil).
Work with your doctor and if he/she isn't responsive to your concerns, then lay it on the line that you will find someone else who is.
There are a lot of websites that proclaim these meds as the work of the devil.....it is best to avoid these as they take a magnifying glass to a small amount of bad outcomes and ignore the millions who have been helped greatly with their use. There are a number of SSRIs that are FDA approved for the treatment of anxiety......if the Prozac fails you, you have other options. Keep your head up and try to be patient.
Best of luck.