Happiness is not a goal; it is a by-product.
I could be wrong here, but it seems like a lot of people have one goal, to be happy. Being happy is a good thing, but if that is your goal it can lead to a self-centered life without any depth of purpose, and purpose is what makes life worthwhile. I suffered with depression for most of my life but I have recently started doing something this year that really seems to be helping me.
I have found that big goals often lead to despair, but most big goals can be split up into tiny parts. Lets say your big goal is to lose weight, instead of concentrating on how many pounds you want to lose, every day make a smaller goal like climb the stairs instead of using the elevator. Keep track of all the little goals you accomplish, so every time you feel down, or need an extra kick to get you through the day just look at everything you have accomplished.