I need them..

If your Therapist is a Psychiatrist, great. Telling him or her that talk therapy alone isn't enough to lift your depression is very, very common. Because he/she is a Physician, they can write a prescription for the medication(s) they believe might help you right then and there. For the first six weeks or so, you will be closely monitored to ensure that the anti-depressants are working, are not causing any side effects, ect. Anti-depressants are safe and they work-but no medication works for everyone. Be very honest with your Doctor if the medication causes problems. He/she will discuss this with you and can switch you to a different medication(s) should this occur.
If your Therapist is a Psychologist, he/she will not be able to prescribe you medication because they are PhD's, not Physicians. However, your Therapist should be able to refer you to a psychiatrist (who are physicians) or other doctor who will prescribe the anti-depressants you need.
The same holds true with other mental health care professionals who are not M.D.'s. They should be able to refer you to a doctor for your prescriptions.
The most important thing is to speak up and tell your therapist what you're feeling and what you need. Do not be afraid. Do not be shy. This is your life, and as such-you have the right to request and receive the help that you need.
Take care.