I forgot who to credit this to, but one thing that helped me out when I was depressed was the "ceiling tile" perspective.
Let's say you buy a home and when you go into the basement, you notice that the ceiling has a worn out, cruddy looking tile - just one. There's two ways to go about this. You can fix the tile, or you can just let it be and respect how great the rest of the tiles look.
In your case, you mentioned that you your friend would say, "Why are you depressed?" to which you couldn't answer. Sometimes we don't know, sometimes we know and we're so encumbered with the reason of our depression that we block it out. You alluded to your sense of loneliness, and I think it's highly possible that could cause a great bout of depression.
The same thing happened to me last year; I was essentially living alone, and coming home to an empty apartment is something that for some people can be very depressing. Add on to this an answering machine that keeps blazing a hurtful "0" messages in your face, and an AOL mailbox without any mail in it (or with tons of e-mail telling you their product will make you more charismatic).
I don't know the answer; my solution was to join a bunch of clubs at school and meet people there. I think Alex's post was excellent, and I wish I had asked for help here before I went nuts (this was an episode that was the absolute low-point for me, and a place I hope to not revisit).
Alex: My dad needed a phone at a construction site where it was really noisy; he looked around and found something called the "Mirafone", which uses bone conduction to transmit sound. The effect is that you hear the audio in your own head, very similar to when you slosh fluids in your mouth or when clack your teeth together. It helped at the site, and is actually primarily designed for the hearing impaired. I would check it out. Here's a link: http://www.chinasupply.net/en/phone/productindex.html
General info can be found on the main page of that site, located here: http://www.chinasupply.net/en/
-Ramon http://razor.ramon.com
[This message has been edited by razordu30 (edited September 17, 2002).]