The basic two options (each with multiple variations) for treating a depressed teen are therapy and medication, usually in some combination of the two. You will need professional help to determine the right course of treatment for your teen's depression, which will normally depend on the severity of the depression.
The first option is therapy or counseling. Therapy means meeting with a professional (who could be anyone from your local clergyman to a school counselor to a licensed psychiatrist) who creates a safe environment for your teen to express himself, especially about painful or frightening topics. It is critical that your teen feels comfortable with and trust for the professional.
In addition to one-on-one therapy, you can also look for group therapy options. A group therapy session will connect your teen to other teens who are suffering from similar problems. If the depression isn't too severe, group therapy may be a good option as it has the immediate benefit of reconnecting your teen to other teens. A different, but potentially useful, type of group therapy is family therapy. Family therapy can often help the rest of the family better support your teen as he/she works through his/her depression.
However, if the depression is particularly severe, which is to say it's interfering extensively with your teen's ability to live his/her traditional life, he/she might need some medication (i.e., antidepressants) to help reduce the symptoms. There are a number of risks for teens on antidepressants, including increased risk of suicide, so putting your teen on an antidepressant is not an easy choice. If you and your medical professional agree to put your teen on medication, then you want to monitor your teen closely for any worsening of symptoms, which can indicate an increased risk of suicide. Do note that taking antidepressants is not likely the cure; they should be taken in order to get the most out of the counseling without the interference of depression's most severe symptoms.