No!!! You're not a failure!!!!
Failure is an event, never a person. ~William D. Brown
I know it's tough right now but take a step back and consider what you'd think about somebody else in the same position as yourself. Would you call them a failure, or just think that they're having a rough time right now? Depression tends to skew our perceptions of ourselves (and not for the better!) Jobs are hard to come by for anybody, it's not your fault that the economy and unemployment are so bad right now. And trust me, for a student, you spending money on therapy is a MUCH wiser choice than what a lot of students spend theirs on. I know someone who blew their entire student loan on booze in a single semester.

THAT is failure. Doing what you're doing is planning ahead, protecting and taking care of yourself, doing what you need to in order to get by. It's a show of strength!
Please do something kind for yourself. You deserve it.