What do you do to cope with depression?

Depression. It depends on what do you mean by "depression". If you have what's called major depressive disorder, then you should seek a professional help from your primary care physician or a psychiatrist. The best treatment options for treatment of depression include psychotherapy, medications, or combination of both.
Start with talking. Therapy (such as cognitive behavioral therapy or insight oriented psychotherapy). Don't isolate. Spend time w people. Use your support system. Get out. Don’t stagnate at home. Work to get at least 8 hours of sleep per night ; eat as healthfully as possible. Daily aerobic physical activity is a big +. Try acupuncture, tai chi, qi gong, yoga or meditation.