It's funny you say that, when I was in my women group for depression I mentioned that they should be a group for our loved one, so they could understand a little of what we're going through. Some think a pill will cure all and a couple of sessions with a counselor makes you all better.
Part of my agrees with you, to have people walk in my shoes for a day or two, but then again I wouldn't want them to feel the pain I do.
One good thing is, I know I'm not alone when I read posts, and hearing others saying the same thing I feel, when I'm here or at group, but once I'm out I feel empty and alone again.

Try to explain to them about depression, tell them to read up on it and maybe then they will be able to help you through the dark times.