Shy is right. It is important to remember that depression does not make you a bad person, a weak person, a retarded person or any other kind of negative person. Around 33% of people in the world will suffer from depression at least once in their lives, often more. Therapists may use what you are saying to try and make you understand how you are feeling but what is said in the room, stays in the room (Unless there is a serious threat to others) Councilling is the best way to start to deal with the problems and once you have started, you wont understand why you were so worried in the first place.
Darren