Depression is of two types one is Major Depressive Disorder and the other Bipolar Disorder. The two are different which require different treatments.

The symptoms of the former involves sadness, excessive crying, loss of pleasure, sleeping too much or too little, low energy, restlessness, difficulty in concentrating, irritability, loss of appetite or overeating, feelings of worthlessness and hopelessness, feelings of physical problems that are not caused by physical illness or injury like headaches, digestive problems, pain and thoughts of death or suicide.

Bipolar disorder involves episodes of depression and also episodes of mania like inappropriate sense of euphoria (excitement), reckless behavior, little sleep needed, excessive energy, racing thoughts; talking too much, out of control spending, difficulty concentrating, irritability, abnormally increased activity including sexual activity, poor judgment, aggressive behavior, extreme irritability or out of control behavior. People with depression do not experience manic episodes.

And an episode whether depressive or manic can last for days, weeks, months or even years. It is very essential to note that the treatment differs for both the conditions.
Both biological factors like genetics and psychological factors like stress play a major role in causing depression.

For people who are correctly diagnosed with depression i.e. major depressive disorder, antidepressant medications are often highly effective and they must be taken regularly for three to four weeks, sometimes even longer, before the full response is seen. Other treatments involve Electroconvulsive therapy, Lithium and Anticonvulsant medication both used for prevention. Sometimes interpersonal therapy or cognitive behavioral therapy is also used.

Treatments for bipolar disorder often involve a two-part plan of using both medication and psychotherapy. Different types of medications are used to treat bipolar disorder, including medicines for controlling manic symptoms, depressive symptoms or medications that help stabilize the patient's mood. Psychotherapy, with a licensed therapist or social worker, is also used in bipolar disorder treatment.

Cognitive Therapy focuses on changing inappropriate or negative thought patterns, Behavioral Therapy focuses on current behaviors and Interpersonal therapy focuses on current relationships that can affect the illness. Psychoeducation helps the patient and family understand the illness and recognize signs of relapse.

Interpersonal and social rhythm therapy focuses on daily routines that can promote emotional stability. The line of treatment depends on the patients needs who usually works with healthcare professionals that supervise the patients care maintaining personal contact with each other to help ensure the patients' continued progress.

In both of the above cases it is very important that you do not stop treatment on your own, whether you have concerns about your medicine or if you feel you are doing better, discuss openly with your doctor.