That's a tough place to be. Cognitive behavior therapy is done by the patient with an expert's guidance..but the work is still the patient's. In the Psychotherapy forum read the thread on the 10 Cognitive Distortions and what to do about them...

Changing our thinking from negative to positive (even and especially when we don't feel like it or believe it) works in the brain and changes chemicals that help us feel better.

Also the book by David Burns: The Feeling Good Handbook can lead you to helping yourself out of depression...if you work it like you would work in therapy with a doctor.