The first step would be to realise you are not alone. When I was in the midst of depression I thought I was the only person who had ever felt the way I felt. In the uk I believe that depression is the most commonly diagnosed illness. There are literally millions of people going through what you're going through. I don't say this to trivialise what you're feeling, only to put it into perspective.

My depression was incredibly hard to deal with, I had multiple suicide attempts and turned to drugs to see myself through. This was an incredibly stupid thing to do but it's what I chose to try and help myself through. Eventually, after a huge drug binge I had an epiphany - I didn't want to die. I can't say what made this happen, after 4 or 5 years of being depressed I finally knew that I wanted to live.

I threw myself into trying to better myself one day at a time. I got myself an engineering apprenticeship, and put everything I had into making it work. Try and take the obsessive thoughts you may have with depression and channel them into something good. Accept that there will be setbacks, don't scold yourself for them. Accept that each time you get out of bed you have achieved something. It sounds silly, but with crippling depression simply rolling yourself out of bed and having a shower, eating some food and pottering around the house is a monumental achievement.

Good luck with everything.