Just say something like "Stop that. It is insensitive and I don't have to listen to it." Then leave the room.

But if you need treatment, please get some treatment. I don't know how old you are. If you are over 18, you don't need to tell them anything if you don't want to. Maybe if they knew they would be more understanding than you think. But depression is serious and people do die from it. If you or someone you cared about had symptoms of cancer or heart disease or another physical illness you would get treatment, right? Depression is just as serious, and maybe even more painful and damaging to live with, and if you die from it you are just as dead. Besides, it can contribute to other illnesses including physical ones if you don't get treatment.