It seems that getting depressed is the worse thing can happen to an entrepreneur.

Very few people understand how difficult is to create a new thing. Most of them hear success stories and think that all of those people were struck by a great luck.

I do not want to say luck is not important but most of them worked hard to acheive that success.
Also for 1 success there are other 20 failures (or even greater in IT).

Depression can appear as the result a few of reasons (list not complete):
All of those reasons might make you give up.

Don't do that!

Ancient christian monks described that state of mind as acedia. You can recognize it by the fact that you do not want anyhing. You are just bored and tired. You want to give up.

Don't do it!

Then is your time, then you can rise and yell (in your mind)

I WILL NOT GIVE UP! NEVER!

See this guy and think about your life.