2 wks + other sxs. A major depression diagnosis requires at least two weeks of depressed mood with four of the following: changes in sleep and/or appetite, poor concentration, low energy, feelings of guilt, can't enjoy things, suicidal thoughts, moving/acting slower or faster than normal. Sadness by itself is not major depression. If the sadness has persisted, seeking therapy may help.
2 weeks. Several other symptoms have to be there for those 2+ weeks in addition to the sadness. Those include disturbance of eating, sleeping, concentration, loss of interest, thoughts of death, irritability, sense of loss, anger, etc. If you feel you have some of these symptoms, talk to your doctor.