How do I go about getting help for my depression?

I haven’t been feeling like myself for some time now. I took a break from school in an effort to collect myself, but that isn’t going very well. I just feel sad all the time and I don’t want to be this way anymore.

I do have a regular doctor. Do I see this doctor first and explain the situation? Or, do I go to see a therapist directly? Are there more options?