There is something inherently naive about the way the majority of people in the world approach depression.
Depression as a disorder, as a sickness, is NOT situational. The sadness you feel when you get dumped or the grief you feel when someone you love dies is not depression. They are emotions that pass with time and effort. Depression is not necessarily something that can be explained or changed. If one is sad because something bad happened, that is sadness, grief, angst or whatever emotion is applicable. Depression itself is not an emotion; it is a way of thinking.
That's not to say people who suffer from depression are not influenced by outside situations. Quite the opposite, a depressed person can be thrown further into a deep depression when things go pear-shaped. However, the depression exists without the outside stimuli. Depression is a distortion of thought, a disorder of feeling, not just an emotional response.
Depression is a mood disorder, one that can be helped through therapy, life coaching, expression and, in some cases, medicine. Those who suffer with it are usually not able to simply change their way of thinking. It's the same with other mood disorders like anxiety, as well as with panic disorders; you cannot simply will them away. It takes effort, energy, motivation and a true desire to work to break through something like this.
I can't really explain it any better than that: it only really makes sense to those who have felt it. You might want to change, you might hate that you think what you're thinking, you might know that what you're thinking and feeling is the most inane, stupid thing you know.....you still think it.