What are you supposed to do in between sessions?

I hear it every day, how you are supposed to take what you learn in your session and turn it into action during the week, or use it somehow during the week to make changes to yourself.

But if we are in there talking about our past all the time, how does that translate into action during the week? Like for example, we talked about why I am depressed in the session. So I go home and think "well that is nice to know and all, but now what do I do until the next session?". I asked this to my therapist and got the "only you know the answer" textbook response, but I don't know the answer so that is why I am asking you guys about it.

I could understand it if we were talking about something practical in the session like self harm or anger management techniques, etc. But when all you are doing is remembering stuff in the session, how do I translate that into action? Should I Just think about it during the week? Should I just NOT think about it during the week and just wait until next session? I have no idea. My last T told me I was thinking about things too much between sessions and to stop - to not think about it until next session. So how can I be proactive whilst not thinking about it ??

It's just that I know this therapy is heading the same direction as my last T (ie. a dead loss) and so maybe if I do something different this time, I can prevent that. But I have no idea what I should be doing different. It is in my control yet I have no idea how to control it in my favour. Any ideas?