And to expand on that, if you're not vibing or getting results from one therapist see another one. Don't give up after seeing just one. I know plenty of people that didn't see much improvement after one therapist but did well with others.
Look into medications, they are a lot easier to stick to than seeing a therapist especially if you're depressed. Even if the first drug doesn't work try another one. The non-response rates to a single medication are much smaller than if you didn't respond to one you try another one.
In the process get started with this book.
This website has a lot of useful information too. (Written by a psychiatrist)
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