Okay, first of all, you should go to therapy. A therapist will be someone with whom you can practice your social skills and learn techniques to manage your anxiety (social) and depression. You might also want to see your doctor about getting an anti-depressant. It probably took a lot of courage for you to go to college, so not only congratulations, it shows just how brave you are.
So, unfortunately, learning social skills requires practice. Allow yourself that. Try to talk with people, and if you're awkward, it's okay. Consider it part of your learning experience. A really good and easier way to meet people is to join some groups at school (government, politics, volunteer work, art, music, sports, etc.). That way, you will meet people around a common interest, rather than around you, and some will actually like you because of your awkwardness. Allow that. With your depression, at least do this every day: keep a journal of the best thing that happened each day (even if it's only a burrito and soda) so that you think of the positives in your life, when you find yourself thinking negatively make yourself think about things you like about yourself, be sure to eat right and sleep right, exercise reduces depression, listening to calming music and engaging in hobbies are also soothing. But, give yourself an A+ for having the courage, despite your depression and social worries, of going to college. I suggest when you can, try to take classes that have group work, as that's another way to meet people, and try to sit near the front of the class, and ask your neighbors in class questions when you can (Do you know the homework assignment was? What was it the professor said about ....? Do you know what time the library is open until?) That way, you'll create the possibility of them talking to you.