Sorry that you're feeling so rough; depression is a swine.
I haven't taken Sertraline but have taken other SSRIs, and the side-effects are pretty similar with most of them. Initial side-effects last for a week or so and the common ones are things like nausea and/or vomiting, diarrhoea, constipation, changes in appetite, dry mouth, headache, insomnia, shakiness and dizziness. There are some longer-term side effects as well, I became over-sensitive to sunlight (it brought me out in a rash) and had what felt like an untuned radio and electric shocks in my head. You won't get all of the side-effects, and you may not get any of the longer-term ones at all. I remember feeling really rough the first couple of weeks, until the initial side-effects wore off, but was reasonably OK after that.
Have a look at the leaflet that comes in the pack, that will list any other side-effects that you may experience - I don't think there are any that are peculiar to Sertraline but I could be wrong. And don't be frightened to ask the GP about your medication either.
You need to allow quite a while to let the ads kick in - the GP told me a couple of weeks but I found it was nearer 6 weeks before I started to feel any improvement, and even then needed to increase the dose a couple of times. If you don't feel that they're helping you once you've been on them for a month or so then see the GP - if that particular dose or that particular ad doesn't work then a different one will.
WRT alcohol, the perceived wisdom seems to be that it's best avoided but the odd glass won't hurt. Alcohol is a depressant so is best avoided anyway, and ads can increase the effects of the alcohol as well.