I think it comes down to things that have worked for a majority of people (ie. DBT has been proven to work for BPD, and other things) and what you need personally. Everyone is different. Most doctors or psychiatrists will be able to tell you in a general what types of meds and therapies and other kinds of treatments work for which diagnoses. It's really all just a crapshoot, though. The best way to figure it out is to talk to other people about it, do research, talk to medical professionals, and try the stuff out yourself to see what works. Some people get lucky and find what they need right away. Some people work and work and work and the treatment always seems to be elusive.
There are other things outside of the standard medical profession as well. Many people swear by 'alternative' forms of healing, such as acupuncture, traditional Chinese medicine, naturopathy, herbalism, Reiki, specific diet, etc. Some people use a combination. Some people will only use something that is recommended by a medical doctor (ie psychotherapy, psychotropics) and some people will only go natural.
Ultimately, to answer your question, in most cases you decide. I say 'in most cases' because sometimes when a person is forcefully incarcerated - committed to a psych hospital against their will - they are also forced to comply with whatever treatments are prescribed to them while they are there.