EDIT: also exercise is an important part of losing weight, not just diet, maybe that’s why you haven’t lost any weight (you didn’t mention if you do any or not…), besides, it’s only been 4 days, be more patient. It could possibly be you’re getting a little too much fats – it’s hard to tell why you’re not losing weight from what you’ve said
References :
Grain-free vegan

Veganism is not a diet, that wouldn’t make sense, you don’t eat circuses or wool plus it is a life time commitment to the animals. Also veganism is not about health, you happen to be healthier as a vegan just simply because products taken from animals are not healthy for us but that is not the reason for veganism.

As far as your pure vegetarian diet things don’t change magically you have to wait a while for your body to adjust and change and if you are looking to be healthy you have to eat healthier and exercise and eventually you will see results. There is no magic bullet to good health it is something that takes time and effort. Strict/pure vegetarianism doesn’t magically turn you healthy as soon as you start especially not within a week and you shouldn’t expect that.

This should give you the info to help start off veganism a lot easier:

Here is a list of animal ingredients to avoid:
http://www.happycow.net/health-animal-ingredients.html

More things to avoid:

Animals as clothes:
Leather, skins, furs, wool, silk, down, feathers…

Animals as entertainment:
Circuses, rodeos, zoos, aquariums, animal fights, animal races, hunting…

Companies that DO NOT test on animals(however CHECK INGREDIENTS they only verify testing not ingredients):
http://www.leapingbunny.org/indexcus.php

Vegan products:
http://www.veganstore.com/ (I know them well and they aren’t doing as well in this economy but they are a great source for awesome hard to find stuff and they are very friendly and giving even if they really don’t have much if anything to give)
http://gentleworld.org/vegan-evolution/products/

Vegan recipes:
http://vegweb.com/

More info on veganism:
http://animal-rights.com/
http://www.vegetus.org/honey/honey.htm (I get the honey question a lot)
http://www.youcanhelpstopthis.com/
References :
Vegan because animals are not property

No gimmicks. No drugs. No stupid combinations of items like…watermelon and tabasco sauce.

It’s not super fast (lose about 1-2 pounds a week if that) and it’s something you’ll have to pretty much do for the rest of your life since you’ll still have to watch what you eat, lest you gain back the weight you worked so far to lose.

A normal adult burns about 2000 calories a day even when just sitting on the couch.

If you regularly burn more calories than you consume, you’ll be losing weight. However if you try to lose too much too fast, your body will think there’s a famine going on. It will convert everything into fat, and you will gain weight.

So the idea is to eat less, but not so much less your body freaks out.

You also need to look at what you eat. You need a balance of protein, fiber, vitamins, etc. Yes, some fat and sugar too, but not a lot.

Exercise. Exercise won’t make you lose weight directly. However it gets your body moving and encourages muscle development. It also helps get your heart and blood flowing, essentially flushing out your system. Exercise helps improve your metabolism too, so you will burn slightly more calories – even when just sitting on the couch. More importantly, exercise gives you more energy and helps maintain a positive attitude which you’ll need to stay on your diet anyways. Start out slow and easy. Go for a walk or ride your bike around the block/park. Take the stairs instead of the elevator. Go swimming or go play a sport with some friends. It doesn’t matter if you’re any good…just get out there.

Make small changes what you eat. Try to add more vegetables and fruit to your diet. Eat less meat. Try going vegetarian once or twice a week. Add a salad or bowl of vegetable soup to dinner, then cut down on the starch or fatty meat. Try to find a whole wheat bread that you like, instead of just processed white bread. Eat breakfast. A glass of juice, some oatmeal, maybe with a little brown sugar. This will keep you from feeling hungry and the oats are a great source of fiber.

Read the labels on food and understand what they mean. Did you know that most small bags of potato chips actually contain more than 1 serving? Yeah, you look and says "100 calories per serving" but then it says the bag contains 1.5-3 servings, meaning if you ate the whole bag that’s actually 150-300 calories, not just 100! Yeah, food companies are tricky that way! Be careful.

Again, little changes, moderation, persistence. These are the keys. It’s ok to still eat a cookie now and then…but only eat a few cookies not the whole box.
References :

And for the person that keep saying our ancestors are monkeys, this is for you:
http://hotnerdgirl.files.wordpress.com/2011/02/double-facepalm1.jpg
References :

I know how you feel I’ve been through diets myself – I found Slimmer’s World to be a great help – However, as soon as I reached goal, gave up the diet I didn’t learn anything and it was a catch-22 cycle.

In the last year I have been making small lifestyle changes and learning to opt for healthier options in the shopping. I still have chocolate and other ‘unhealthy’ foods yet I’ve learnt to portion control and moderate eating.
References :
Personal Weight Loss Experiences over the past 1-2 years.