I hear a lot of guys say that they're going to give up on pick-up because it hasn't brought them happiness. Picking up women IS NOT the cure for depression. It simply isn't. It's a confidence booster. It's fun. But you can not allow your happiness to rely on how you are performing with women.
Get out more. The less social you are, the more depressed you'll end up being. Force yourself if you have to.
Workout. About a year ago I got into body building and it was one of my favorite decisions I've made. Beyond getting healthy and looking great, the confidence you get from working out is like no other.
Don't play videogames, watch TV (unless it's necissary), or go on the internet for an entire week.
Take in nature. Go for a walk or jog. I'm sure you can personally testify to the fact that just getting outside and enjoying nature is a very calming activity. Hang out in the sunshine. It's good for you.
STOP LISTENING TO DEPRESSING MUSIC. I know how easy it is to fall into that zone where you want to listen to Nine Inch Nails' "Hurt" over and over and over, but it's not going to help you. Start listening to upbeat music. Listen to positive music. I can't stress it enough.
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May I recommend Anthony Robbin's Awaken the Giant Within? Its a book on motivating yourself.
Fabulous suggestion.