There's no doubt that exercise improves depression and your over all quality of life. I applaud you for having the motivation. Dnesch and Justfloating also gave advice. Incorporating weight training in addition to regular cardio is the easiest and fastest way to get in shape. Dnesch in right that you should not weight train the same muscle groups 2 days in a row. I like to do upper body one day, then lower body.
I just finished watching a very interesting local show on how exercise improves the brain, learning and behavior in school children. There's an interesting book called Spark and it states that exercise creates new 'neuro transmitters' and new brain cells. A high school teacher developed a program on an Indian reservation where most of the children there have learning challenges. After implementing a cardio vascular program it was revealed that they all improved in concentration, comprehension and over all learning and test scores - pretty impressive!!
Congratulations in being pro-active in your own health. I always exercise not to lose weight because I'm fortunate to be naturally thin - it's wonderful that you're losing weight but also do it to be a healthier person. Keep up the great work!!