Sr. Kathryn Hermes, a fellow depressive, writes eloquently about how to pray when you’re depressed.
Click here to see Beliefnet’s gallery reprinted from her book, “Surviving Depression: A Catholic Approach.”
It begins this way:

When you’re depressed, you may discover that the shadows and tempests of that depression alter the way you look at God and the way you believe God looks at you. When you pray, you may be unable to sit still or to keep your mind focused for more than a few moments. Everything may appear to be a huge gaping hole of silence–all so useless. God may seem to be mocking your attempts to pray.
I know people who have gone three, five, ten years without “praying,” though they were faithful to setting time aside for prayer regardless of its seeming uselessness. In the haunting darkness where all communication had gone silent, they found loneliness, boredom, frustration, anger. Were they praying? Yes.
If this is happening to you, try these forms of prayer and contemplative love.