Just to repeat, stay far away from effexor, unless you're going out tomorrow to buy some rope or a gun. Make sure that it really is depression, and not something like bipolar or a thyroid issue, you can or can't take different meds for different problems. I'll third the Welbutrin, it's safe to take for just about anything. Prozac is okay for straight depression, but has a lot of sides compared to the newer stuff. It's bad news for any level of bipolar. If you end up with an SSRI, and you start to feel AMAZING, call your doc immediately. I know a few people who've had good experiences with Lexapro if Welbutrin didn't work.
In the end, though, don't bother with your GP, go find a good psych.
And don't take advice from people on the internet.