There's no shortage of evidence as to the therapeutic value of music (a Google search for "music" plus "depression" will net you well-over 28-million results).  But I found this 8-step approach to Healing Depression with Music by Monalisa Hyden (who has, by the way, written some very fine pieces of smoking cessation, for the nicotine addicts among us) particularly interesting.  In a nutshell, these steps are:

 
1) Begin with music that matches your current mood and slowly segue into uplifting music that matches the mood you want to be in.
2) Do not use headphones, as the rhythm and vibrations are therapeutic to your entire body, not just your ears.
3) Let your hair down, loosen your clothing, remember that you will be most susceptible to the effects of music therapy if you are comfortable.
4) Close your eyes, set your mind free, and let the music in.
5) Pre-plan your time for music therapy so that there will be no interruptions or distractions.
6) Allow yourself to respond freely to the music.  This may mean visualizing, dancing, singing, or sleeping.  Go wherever the music carries you.
7) Give yourself some decompression time when the music stops.  Don't immediately get up and back to your routine--sit and enjoy the silence for a few moments.
8) Keep a record of your mental state before and after each session to measure the effectiveness of your selections.