Alcohol is in itself a depressant, so treating depression with alcohol is ultimately self defeating from my experience...
I ended up not knowing where the depression stopped and the depressing effects of the alcohol began...so I drank more to somehow feel 'good'....eventually I had alcoholism to contend with as well.
It's not true to say you only have two options Cheeky.
You don't have to drink and, as others have said, you don't have to sit there and mope either
Exercise certainly helped me...seeing my doctor and my therapist/counsellor helped me too.
I hope you feel better soon
D