I'm not a doctor or psychologist, but I think the Wikipedia entry has a good overview of clinical depression including various causes and treatments:
Clinical depression - Wikipedia, the free encyclopedia
McMan's Depression and Bipolar web site also has some good articles:
McMan's Depression and Bipolar Web - Your depression and bipolar disorder source
If you feel depressed and sad, I would recommend adjusting your nutrition intake to make sure you eat enough fruits and vegetables every day and start taking omega 3 and the vitamin supplements listed here:
Clinical depression - Wikipedia, the free encyclopedia
To be safe, make sure you don't go over the recommended daily intake.
I learned about the use of Omega 3 supplements to treat depression from this book:
The Omega 3 Connection
You can also teach yourself cognitive behavioral therapy to deal with the thoughts that lead to depression:
Cognitive behavioral therapy - Wikipedia, the free encyclopedia
I used to have lots of feelings of depression and anxiety, but I was able to deal with them by using Omega 3 supplements, improving my nutrition, disputing negative thoughts through cognitive behavioral therapy, and making sure I get enough sunlight each day (since a lack of Vitamin D can also lead to anxiety and depression).
As far as finding things you like to do, you can browse through Wikipedia or watch videos on YouTube and write down stuff that looks interesting.