Failure is part of life, everyone fails or doesnt succeed at what they were trying to do at some point in their lives. Many perceive their action as a failure and some fortunate ones see it as a challenge, dust themselves off, and get back in the game. It's how you deal with it that matters.
If you are really suffering from clinical depression, it is a disease and you need to treat it as such. It's not a joke, and is debilitating to the entire body if not taken seriously. I have lost a few friends, family members and favorite celebrities to depression, and unless the sufferer is able to help his or herself, there is little anyone else can do. Temporary treatment can be as simple as talking to a friend or family member. If it is recurring in your life, you need to treat it just as you would any other disease.
Following are my thoughts about depression and where to seek help.
Friends and family (although they could possibly make you more depressed)
Your medical doctor
Therapist or group therapy
Religious organization
No matter what you choose to do, I wish you the best. There are many places to get permanent help. It's all up to you.
Here is a link to an article that could be a starting point:
Depression | NAMI: National Alliance on Mental Illness