Depression isn't something that can get rid of easily. It does take a while to get over, and it does take a lot of work. Don't make it worse by shutting yourself in. Just stop and get help. You wouldn't want to waste part of your life like that.
Having depression doesn't mean that you can push everyone away from you. They're just trying to help you. Just chill and think about what has happened and maybe go to a therapist
You could take anti-depressants pills but I read that those only make you go crazy. Your best choice is to go to a therapist. If you refuse to go, don't. Why don't you wanna go anyway? Is it because you're embarrassed? It's really nothing. You don't want people to feel bad for you? They probably felt bad for you way before your depression. You were embarrassed at least once in your life time. Why not go though it one more time.
Depression happens to everybody, you can't stop it from happening. It like a painful feeling of just wanting to stop everything. Even if you're feeling this way, you should always tell someone no matter what. Don't keep it inside.