Robin, what the hell you do about it is see a therapist who has worked with dozens or hundreds of people just like you. You say your therapy was like a staring contest, which makes me think you didn't have therapists who were good at helping people with depression. The worst thing for a depressed person is a therapist who just sits there and listens to them.
You need a therapist who is going to be active and directive and challenge your negative thinking and offer you very concrete strategies to help you deal with your depression. This is what a good therapist would do for you, and if this was not your experience, don't blame therapy or yourself, but blame your incompetent therapist. And don't go back to a therapist more than 2 or 3 times if you feel like they're not helping, because if you're not getting anything from them yet, that's probably not going to change no matter how long you go.
You seem to be or want to be a Buddhist. Great! Mindfulness-based therapies are one of the empirically supported treatments for depression. Take an MBCT course. Are you in the UK? Then
http://bemindful.co.uk/