Here is an interesting article I found on the Net on depression and brain switching: http://www.mindpowernews.com/BrainswitchDepression.htm It talks about re-programming your brain out of depression.
I myself had experience with helping myself out of depression with the following exercises:
1) Stopping thoughts. Usually when you are depressed, you are attaching your low state to some circumstance that would "justify" it. Such as "no money", "broken car", "I'm a looser", "she loves not me", etc. Your mind chews on the thoughts that drive your state even lower, increasing the pain. The excercise will be to stop thoughts to brake the deadly circle. Even if it feels like you have to concentrate on the circumstances to figure it out; you can not figure it out while you are locked onto the pain.
2) Focusing on external object and switching the focus every 3 seconds. This excercise takes you out of your head and helps stop thoughts. To do it properly, you have to look at something outside yourself, like a tree, or a pen, or your own hand. You have to let yourself SEE it in detail, and as soon as your brain done identifying the object, turn your eyes to the next one. Keep your brain busy chewing on something outside the pain.
3) Find positive thoughts to think. Focus on them even if you can do it for a second.
These excercises will help to re-train the brain and let it lay new neurological paths within your nervous system.