Depression is... depressing to say the least. It is definitely no fun. You should never feel ashamed or embarrassed for being depressed. There are ways for you to deal with your depression that can be very beneficial.
Start by talking to your doctor about your depression. It could be very serious if left untreated. Tell your doctor how you feel and when you feel depressed the most. Hopefully your doctor can refer you to a counselor.
Talk to a counselor about your problems or depression. Sometimes just talking to someone about your feelings is enough to make things better. You may not even know what is causing you to feel depressed, but counseling may help you realize what it is.
If counseling alone doesn't seem to work, talk to your doctor about depression medications. He may refer you to a psychiatrist who can regulate your medicine better. There are so many different medications available these days for depression. There is probably one that is perfect for you.
Talk to your doctor about your medication. If you do not feel it is working then let him know! They can adjust your dosage or try a different medication. There are always other options.
Check into a mental hospital if you feel your depression is too severe. Nothing is wrong with this and it is NOT a shameful place to be.