You should never feel ashamed about going to see a shrink/psychiatrist, it's actually more common than you think. Many considered normal people actually use this kind of professional help, to relief stress, or to just get things of their chest. Either way, what matters is that you take care of yourself, and if getting this kind of treatment will make life in general better for you, than you should do it, and try not to care what other people might think of it.
If talking to the psychiatrist eventually makes you feel better, then keep on with that. If it helps you in some ways, but not enough, then you might start considering taking the advice to start using those meds. I know most people don't really feel like "popping pills" to get better, but if they'll make one change for the better, it is preferable to at least give it a try.
Alternatively you can try to find something special to do every day, something that makes you feel good/happy, either if its jamming with your band, going for a jog etc.
Oh and speaking of jogging - working out on a daily basis might be of good use in your situation, considering the fact that it actually improves your mood, making one feel happier. It's sort of like a natural feel good "drug".
I hope you find a sollution that works for you - Best of luck to you