How old are you? If you're a legal adult the therapist can't tell on you unless you are in immediate danger, and no matter what you think... if you really are in danger of your life then despite the pain and embarrassment it's worth it.

If you are not yet a legal adult it's a bit trickier, but not impossible. Talking to a school counselor may help you, but keep in mind that certain things might be shared with your parents - if I were you I'd outright tell the counselor how your parents react to this type of thing and explain why you don't want to go to them. Most therapists should understand this and react accordingly.

One more thing - depression is a serious problem. You're not being a drama queen, and I"m sorry you're parents and friends are acting like you are. Sometimes it's hard for others to understand what you're going through and that's part of what therapists help you with. they know about mental illness and are able to understand and actually react in a way that can help you. As far as a diagnosis, I don't think that's very important; its just a label. But good care via talk therapy, combined with self help strategies you can find online can be so helpful.

Wishing you luck