Blot - as others have said, I think you are getting the constant need to pee because you are so anxious - I really don't think it's the Vagifem causing this.
When we are anxious we tend to clench - this is probably contracting everything in your lower abdominal area.
You also probably need to train your bladder to hold more now, because it has probably contracted. Try drinking just water for a few days, making sure you drink the 6-8 glasses through the day. Even if you do feel as if you need to pee, try to hold on so you only pee every 2-3 hours. I often find I feel I need to pee but if I get on with a job around the house I can forget I need to go.
Try lying on the floor and totally relaxing the whole abdominal area.
You have got to try to get your brain to accept that the Vagifem is doing good and will help in the long term.
DG x