I'm going to give a very comprehensive answer here. Please bear with me, I've got lot's of expertise in this area, hard won, and this all may help:

It's important to note that not all depressions are created equally. There's transient depression: most people may experience some form of this at some point in their lives, and it can often be dealt with through short-term medication, counseling, both of those, or sometimes just one of them.

Then there's chronic depression. If that's an issue, prior to accepting a clinical diagnosis such as from a doctor (preferably psychiatrist) you should push for a full blood screen, especially for things like thyroid and vitamin D. There are things that can be picked up in such a screen whose symptoms mimic depression, and you want to rule out obvious physiological causes that have trivial fixes.

Next I'm going to get into the medication aspects of things a bit, but I'll give some coping hints afterwards.

Assuming we're dealing with either chronic or intermittent & highly disruptive episodes of depression, treatment can still vary greatly based on circumstance. My own opinion is that a combination of medication and therapy present the best long term prognosis for improvement. In some cases, these can even be temporary, where medication helps improve things enough to be bearable while you work out underlying issues and coping mechanism with a therapist (DBT & CBT style therapy can be very effective here) but therapy styles can be highly personal and different things work for different people.

In such a situation, on the medication front, an SSRI medication is usually the first-line medication treatment. But the specific presentation of symptoms can absolutely drive a different selection of medication(s). As one simple example, depression with extreme anxiety is a strong risk for BP2 (bipolar type 2) where the anxiety is actually mixed episodes (This is NOT always the case). But in that sort of situation, a psychiatrist might reasonably be reluctant to prescribe an SSRI which can exacerbate the hypo/mania symptoms of BP2. As such, an atypical anti-depressant such as wellbutrin may be used, and for acute anxiety/panic either a benzo class drug or in some cases a beta blocker may be used for the anxiety/panic.

Now, here's the thing about medications: (please HN excuse my language here, it's warranted I think though) it is a shitty process of trial and error. There are dozens of medications, and each person can respond differently. What's more, it can take months to determine if a given medication has had an effect before you can move on to another. This means it can, literally, be years before you find a medication or combination thereof that works for you. It requires patience and the knowledge that things WILL GET BETTER. They do. I've been at and slightly over the brink a few times in my life, and pulled back form the edge enough to keep trying for better results, and every time it has worked, and helped make the next time that much easier to trust the process. You will find something that works, eventually. Search out good doctors that will work with you as a partner in the process.

Now there's an exception to depression meds taking weeks or months to work. Very few medications can have a near immediate effects. One option, controversial, is Ketamine. You need a doctor open to this experimental treatment to work with you, and money to pay out of pocket: insurance won't cover it. Also it's considered a treatment of last resort, when many other med options have failed. Another, easier to get option is modafinil (name brand Provigil). This is basically an atypical stimulant, very different from something like amphetamine type drugs like adderal. It is primarily used for narcolepsy and other sleep disorders, as it's considered a "wakefulness promoting agent". However research shows it can have a profound and rapid improvement on depression. I speak from personal experience on this one: Modafinil keeps me functional during depression and takes a significant edge off it at the same time. I cannot understate the effect this drug has had in helping me manage my depression. Caveat though: No drug works for everyone, but doctors are often much more amenable to prescribing this one earlier in the medication trial-and-error process, so it's worth a conversation.

Finally, meds are only part of the equation. As I said earlier, therapy is a HUGE part as well. It will help develop better coping mechanisms at the same time that it also helps get at underlying issues that either cause or exacerbate depression, and can help alleviate them. So that's one thing. Next, and maybe most important for the OP here, or others reading, is the possible response to what I've said: "Okay fine, but what do I do when I none the less find myself depressed and curled up in a ball and feel unable to handle anything or even get out of bed?"

Here's the answer, and it sucks: You have to power through. I know, I know, it's easy to say, and I know it can be the hardest fucking thing you ever do. But here's the thing: when you're in that state, your brain is a damned liar. It tells you it's better, easier, to stay curled up, to retreat from the world, that to do otherwise is to feel even worse. IT. IS. A. LIE. You must push to retain a semblance of normality. Set small goals if you have to: get out of bed and shower. That's it. Then set another small goal: eat something. Then another. At each small, excruciatingly difficult step, the next one will become ever so slightly easier. Keep doing this until you increment your way to some modicum of a normal routine, even if it's just going through the motions of the day, merely showing up to work, etc. However if my own personal experience and that of everyone I've ever spoken to about this is anything to go by, as crappy as you feel stumbling through your routine, it will be better than staying curled up in a (metaphorical) ball away from everything.

And while your depression may stick around for some time still, my experience is that it nonetheless gets better at least a little faster. Sticking to a routing distracts the mind just a bit, and every such distraction is a moment you feel less depressed. The more of those you string together, the better you feel faster. I also can't understate that it's during these depression times you should absolutely tap you support network of friends and family. If you feel comfortable enough, clue them in and ask them to help keep you on track for normalcy in your life's routines. If you don't have a support network like that to tap, try support groups: the DBSA (Depression & Bipolar Support Alliance: https://secure2.convio.net/dabsa/site/SPageServer/?pagename=...) is a fantastic, fantastic resource here, and even have online chat based groups too.

Also consider "grounding techniques" that help keep you, well, grounded. These can be great distractions when too caught up in your own head. Here's an example of a bunch of good ones: (I'm linking to google's text-only cache because the site is for some reason inaccessible now, even though I've used it for years... anyway, scroll down a bit to the list)
http://webcache.googleusercontent.com/search?q=cache:3bjZ-8G...

None of this is a silver bullet, but it can "take the edge off", and I know, believe me I wish I didn't, but I KNOW, none of what I've suggested here is easy. But decades of experience coming out the other side of these things has shown me they do help. Best of luck to you. Feel free to reply with more questions, I have all too much experience here, and am happy to share the hard won lessons I've earned.