I am a psychologist and work closely with psychiatrists and other health professionals.
There are several different types of depression varying in intensity, duration and cause. Long term depression is often neurochemical in nature and cannot be overcome without the help of anti-depressants. SSRI's are the most commonly prescribed meds, but there are others that act as mood stabilizers that can be effective on their own or as an augmentative med with the SSRI.
These meds can have side effects. Some are minor while others can be more problematic. A good site to get info on these medications is
www.webmd.com. Please keep in mind that just because a side-effect is listed doesn't mean it is likely to occur. During a study if 1 person out of 10,000 gets the hiccups because of the medication then hiccups are listed as a possible side effect.
Medication may not be a permanent part of the solution. Often, the medication serves to assist an individual in reaching a point where they can now be helped by others and help themselves. Once reaching a certain point the meds may no longer be necessary. Others find that they need the medications to keep an emotional equilibirum.
Exercise has been empirically proven to have a positive effect on mild to moderate depression.
Just "talking" without insight as to the cause of the feeling/behavior is useless. I've found that the most effective therapies usually combine both a cognitive and a behavioral approach. It's good to know why you feel like crap, but then you need to change your behavior/perspective/thought processes to prevent it from happening.
If you have any questions feel free to PM me.