Making lots of friends is really important and the key is not limiting yourself to the kinds of activities you will do with your friends. If you don't think that you have enough friends, you can make more. If you're not a confident person, life can be tough sometimes. You may be lonely, but feel unable to reach out to find the company that you really need. Believe it or not, just about everyone does feel lonely at some time, especially when you're feeling like the rest of the world is wrong.
Depression can be a cycle, and breaking it can be a difficult task.
Well, all the usual stuff does work, if you can summon up the courage to begin. Try learning to play an instrument, work out at a gym, or join a club. Find out where people at work go out, and go along with them. Sometimes your pre-conceptions of what a place or activity might be like are changed if you just do it. Try and have the attitude that it doesn't matter if the thing you are doing is not your idea of fun.