Soy milk does not have any fat as it comes from soy beans, which does not have fat really (if it does the numbers are really insignificant).
I drink soy milk and soy based juice (soy milk + fruit). If it contains sugar it will be bad for you, because it will be processed anyways.
Avoid processed items as much as possible. The soy milk usually contains sugar, make sure you pick the brands that do not come with sugar or high levels of carbohidrates. It will not help you burn fat at all, it is used to help people who have lactose intolerance or even who cannot drink fatty drinks (like myself).
It will not really help you lose weight, it might help you in case you are lactose intolerant or if the fat from milk makes you feel bad like me. Apart from that it will not help in anything else. You will not lose body fat using this, if someone is advertising that it is a big lie.