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I'd suggest taking your any of your vitamins at least 1 hour before you take xenical or 2 hours afterwards. I'm not sure about CLA, I believe it is not fat soluble, but vitamins D and E are fat soluble and should not be taken with xenical, aka Alli.
The effects of xenical are pretty short, so as long as you take any fat soluble vitamins or supplements an hour before you take xenical it should not be affected.