First, get a thorough physical checkup. Depression can be one of the signs, or side effects, of many easily-curable diseases or disorders. Thyroid imbalance, for example, can cause depression, or depression is an early sign of some heart disorders.
And don't settle for the quickie doctor's-office checkup, you need a really good one.
Did you make any kind of changes back when the depression started? New detergent, new cat, new brand of underwear? You could be allergic to something, or maybe the new tight underwear is cutting off blood flow somewhere.
If you come out fine, start looking for a therapist. This doesn't have to be a psychiatrist, but someone you can trust and talk to, who has some kind of training and expertise in seeing problems from the outside. We've had far better experiences with things like reiki therapists, "life coaches" and non-medical folk in this area, but there are a lot of really good medical folks out there, of course.
Clinical trials show that medication works best when used as assistance to therapy. To over-simplify, if you are depressed because your third-grade teacher humiliated you, drugs can alleviate that depressed feeling - but therapy can help you come to terms with that third-grade problem, and you can move on. The drugs make the therapy a lot easier and quicker. Many people find that the depression seeps into other parts of their life and then they can't uncover the original issues - drugs help you straighten out your thoughts. However, drugs can have a lot of side effects, and many drugs themselves cause depression.
Drugs may "cure" depression but that's like using a pain killer to "cure" the pain of a broken leg. Don't rely on drugs completely.
Many people find relief from herbal or non-drug things such as SAMe, Valerian, etc (google for that stuff). Usually, fewer side effects, but less direct relief. Also, they are not "safe" - gotta check out the proper uses, etc. There aren't enough herbalists around these days to help, and this stuff isn't really for self-administration.
Also, depression can just be a sign that you need to make some changes. Any thoughts on this?
Good luck & feel better.