Unless you have a biochem issue that causes you to be depressed for not other reason, I find the best way to confront it is with an attitude adjustment.
1. Be brutally honest about what in life you find bothers you. It can be painful, but confronting your issues honestly is empowering. By knowing what is making you unhappy, you can choose how to deal with those issues.
2. Instead of focusing on what's wrong, start examining what is right. I struggle with this all the time. I'm blessed, but my blessings often are based on, "At least I'm not at bad as that guy is." I'd like to be thankful for something good happening rather than something bad NOT happening."
3. Constantly correct your focus. It is so easy to dwell on negative things. When you find yourself doing it, stop. It only helps you become depressed and stay depressed.
4. Drop the guilt trips. It's okay to be sad and depressed. Let yourself experience it and move on. People think that if you feel sad frequently, something is wrong with you, but some people simply are wired to feel sad more easily than others. Don't let people profile you as "sick" because you feel sad about stuff more often than the average person.