Salam
There is a difference between just being depressed, and clinical depression.
Just being depressed is what happens when something bad or unfortunate happens to you. You are sad or upset for a while, and gradually, the bad feelings go away. Think of just being depressed as a big dose of sadness - this happens to pretty much everyone at one or more points in their lives (death of a family member, loss of a job, house burns down, etc). In this case, people "go on" with life, although they may have reminders (maybe the first anniversary of a death) which trigger sadness again.
Clinical depression is what it is called when there is no underlying cause for the sadness that goes on for a long period of time (for instance, someone is extremely sad and crying all the time, but nothing bad has happened to them). People who are clinically depressed find it very difficult to even live their day-to-day lives. They can't just "go-on" with life, and become very dark (in their mind) and may have other effects, such as loss of sleep or appetite, thoughts of suicide, or lack of any physical energy.
Clinical depression can be assisted by having someone around to make sure a person gets up and gets moving every day, they eat healthy, and avoid sugar. Having a hobby with a friend (who will again, get you up and moving) can also help. If you have a friend who is Muslim, perhaps sitting and reading Quran together can be your "hobby". If you can't get pulled out (or pull your friend/family member out) of your depression, you may need to speak with a counselor first, or as a last resort, look to a medical professional for medical intervention.
If at any time a depressed person feels suicidal - GET HELP!