I agree with what angelicfruit said about diet, exercise and sunlight. Some vitamin deficiencies are related to depression (I'm not sure I remember correctly, but some B vits. and zinc). So maybe a trip to the doctor/nutritionist could help.
I don't thing this is anything to be ashamed about.
I'm not sure if this was already mentioned: a journal may help, at least in mild cases. When I feel depressed, I write about my feelings, either to let them out, and sometimes to get to what's really bothering me. Sometimes depression is something else (maybe anger) in disguise.
Good luck!
