Step 1 is to team up with a psychiatrist and find a medication that works for you. A psychiatrist can prescribe medication, monitor you, and make adjustments. If you've tried to help yourself and haven't been able to , it is a sign that you need help from someone else.
I hear about a lot of people who are afraid to take medication, or think they don't need it, or want to force themselves to get well without it and I used to be one of these people. I used to also be suicidal...until I started taking medication for depression and bipolar disorder.
Medication is crucial. It can make you well enough to get the full benefits out of therapy or to help yourself by changing your life.
I know a lot of people can't afford a psychiatrist and I am one of those people. Free help is out there. A lot of hospitals have mental health programs that you might be able to get into. If you are in crsis, make sure you visit a crisis center because they can direct you to programs where you can get adequate help.
If you can cut some other expenses out of your budget so you can afford a psychiatrist you should do it. When you avoid getting mentally healthy your work suffers (or you can't work), your family and social lives suffer (or disappear), and you suffer becuse you're walking through life chained to giant bolder.
A general practitioner can also prescribe antidepressants, but you should be aware that they are not as knowledgeable about mental illness diagnosis and medication. They might not notice that your depression is part of a bipolar disorder (which requires completely different medication). It might take them longer to find a medication that works for you. They might be overworked like many general practitioners are and not be able to provide the close attention you need.
There are support groups out there that can help you find doctors or group meetings in your area. For a list of these groups and what they can do for, visit www.depressiondodging.com