As you can see, lots of people suffer from depression and anxiety problems here, and I'm one of them too.
You are getting some good advice. Going to the doctor is a must, and like someone else mentioned, if you don't get good help from the doc, find a new doctor. Don't be afraid to keep seeing people until you find someone that you feel comfortable with, and someone that really helps.
Seeing a counsellor is good advice as well. There again, it might take awhile to find someone that feels right for you.
Cognitive behavior therapy is a very good route to explore. I used to scoff at the idea, but I'm just now looking into it and it really helps. It's extremely helpful to explore your symptoms, learn to recognize them, and learn techniques that will minimize your anxiety and depression.
Drugs are an important route to explore. They are not for everyone. Some people have very good luck with drugs while others are not happy with their results and choose to go without.
All drugs come with side effects, some more than others. Often, you will have to try several drugs before you find one that suits you.
There is a really good book called "Don't Panic". I think that's what it's called... I've also forgotten who wrote it... some help I am!
heh.
When you are anxious, try to remind yourself that anxiety is normal, that it will pass, that it has always come to pass, and that you will be fine soon.
For myself, I found that if I laid in bed, imagining I was in front of a heavy bag kicking and punching it, going through various combos in my head, the panic would pass quicker. Pay attention to the things that help you get through your panic and learn techniques for waiting it out.
Hope you find lots of good help!