I like this book's chapter http://wishcraft.com/wishcraft_ch1.pdf for better explaining where to start.

Sometimes it can help to start at the "other" end of goal setting, get very specific as to what you would like to do today? Having and working a daily to-do list for awhile can point the way to longer term interests and desires. Maybe you wish you took better self care of yourself; well you have a to-do list filled with little self-care tasks like getting up and going to bed at a set time, bathing, fixing nutritious meals, etc.

There's a obvious difference between "exercise more" and "take a 10 minute walk on Monday, Wednesday, and Friday". If you know your goals are in the "be happy", "lose weight", "exercise more", "make friends" general categories, just keep looking at what you mean by "be happy", what would that look like to you? You can't get there if it has no meaning to you personally. Take a vague goal and make other vague goals related to it under it :-) and then goals under one of those, etc. and eventually you will be specific.

"Be happier" might include; find a hobby, get a job, make more money, have more or better friends, etc. under it.
"Find a hobby" might include; read more, join a group, take a class, start a blog, and other ideas under it
"Read more" might mean; inspiring biographies, good fantasy/sci fi, history, science, go to the library, subscribe to a magazine, subscribe to a blog or news feed, etc.

It is not necessarily the goals that matter but the doing definitely does. I don't think the biggest problem with being depressed is that goals are not specific but that not much action takes place. Some people like to get on a train that goes from Point A to Point D and they work on B and C as they go along. But other people like to go for a walk downtown and just see what they can see, meet who they meet, learn what they learn, experience what they experience. It does not matter which one prefers but one does have to get on the train or start out on the walk.