How should I help myself if I am depressed?

Positive thoughts. Cognitive behavior modification is a technique where you train your brain and your thoughts in a positive way. These positive thoughts influence the way you feel. There are good books out there to help with cognitive behavior.
Why not meditation. Depression is meditation about what if's of life. If you learn to meditate on why not's it would shift.
Excercise. You can help fight depression by exercising, eating healthy foods, getting 30 minutes of sunshine daily, and interacting with others. Fish oil will also help.