Yeah, I went to a walk in session recently after trying to get the courage to for a long time, I hadn't actually been to a doctors for anything since I was about 5.
The doctor (it was my GP's, but I hadn't been able to get a proper appointment) basically said after I'd finished explaining through sobs and filled out the little questionnaire thing that he didn't want to push medication on me, but to him it sounded like I needed it and it would help.
So yeah, started and for a couple of days it almost felt like... I was a little better, but then this weekend not so much, I don't know maybe its not started working properly yet. Plus my life and ability to do anything is a bit ****ed so its difficult to be positive even with medication.
Its all an uphill struggle always though, so try again tomorrow and the day after...

Good luck if you've been offered councilling, my parents suggested if I wanted it they would pay for it privately (I haven't told them about the medication yet, ha).

A lot of it is finding a good shrink. Some of them are creepy, others are cool. I think you should try the medication to make it easier to talk about it, then after it's been working for awhile you should see if you can figure out what you're depressed about; (if it's a chemical imbalance, lack of sleep, problems in your life, etc.) and get to the root of THAT problem.