I don’t know how long you are going to this psychologist, but you have to give it time. If a long time went by and you see absolutely no progress, it might be time to listen to referrals.
Is your depression based on anything specific? Can you think of anything that does lift you up? Do you have hobbies? Do you have friends?
Now that you made yourself a screen name, why don’t you share your opinions on all other matters, as well? It is very depressing to be depressed, so try to get your mind off that topic, when your not actively trying to do something about it. Get busy with things. Activety flushes you with energy, or life.