Both treatments contain the same active ingredient, orlistat, and work in the same way. Alli stops about one quarter of the fat that you consume from being digested, whereas Xenical prevents around one third of the fat from being absorbed by the body. Alli also contains half the dosage of Xenical (60mg, as opposed to 120mg), which is why it removes less fat from the body.
Alli isn't currently available in Canada. But Xenical works in the same way and has the same active ingredient. So if you're interested in Alli, Xenical might be the one to try.