If you really are depressed, in the clinical sense, please ignore all the advice here. It's not shyness, loneliness, lack of a girlfriend etc. It's a disease. I have had regular bouts of mental illness (not depression but various kinds of psychosis) for the last 11 years. Only 3 things help at all:
1. Medication, which you must get after consulting a good psychiatrist.
2. Time. Mental illness is a lifelong condition. No matter what is going on in your life, it will return at some stage. I've been going through great, stress-free phases and I've had an episode; and I've been through really bad times with no sign of any mental illness. It really has very little correlation with your day-to-day circumstances. I had a terrible episode when I was in my undergrad days with no cares in the world. And was completely episode free though the last year of my PhD, which was one of the most stressful periods of my life. While this sounds awful, as time passes you will build up coping mechanisms and be able to function, even when going through an episode. I can now go to work, socialise and lead a pretty normal life through even really bad bouts.
3. Accepting that, during a phase of mental illness, your mind space and your thoughts don't reflect your reality. When in an episode, I have strong hallucinations, obsessions and compulsions. However I can now accept these things, acknowledge that it's happening and move on with life. It's really a matter of acknowledging you have an illness, and it's the illness that is driving some of your thoughts and experiences, not reality.
Most people will tell you to cheer up, get a hobby, get married etc. Listen to them politely and then forget their advice. All that will work is accepting your condition, following medical advice and being patient.
Edit: I realise this sounds a little bleak. But I didn't mean it to be bleak. I just wanted to explain that mental illness should be taken seriously. Like I said, I have learned to cope and I'm very happy with life. It has also made me stronger than I ever thought I could be.