Tell someone. Depression sometimes causes one to become isolative and withdrawn making one a right target for bullies. Telling someone about the bullying and having a peer to go places with sometimes could reduce the bullying. You may also want to seek treatment for your depression if you are not in treatment right now.
Tell someone. Find someone you trust and say something. Keeping it inside does nothing. Depending on the context, find out what resources you have at your disposal to stop the bullying. DO NOT TAKE THE LAW INTO YOUR OWN HANDS.
Same as always. I don't think having depression changes recommendations for dealing with bullies. The same recommendations as for the general population would apply. That being said, dealing with bullies can be very difficult for persons of all ages, and the decreased motivation, energy, and self-confidence that accompany depression will make dealing with a bully all the more challenging.