Interesting. http://www.theyeshivaworld.com/news/archive/108086/Exercise+&+Your+Mental+Health+(Part+1).html
It seems that exercise can help cure things like depression. The problem is that people who are depressed have trouble getting themselves to exercise. Just the fact that you posted here Goq shows that you are determined to make a start. I would suggest to try to be consistent in exercising. If you skip one day, it will be much easier to skip the 2nd and then it spirals down from there. Try to force yourself not to miss days, even if it’s just a few minutes before you go to sleep.
Another suggestion that I think was mentioned above is to get a buddy. Find someone who also needs the exercise and walk together every day. Walking together with someone (or riding bikes together) can make it more enjoyable and you have each other to motivate each other for days when one of you wants to skip a day the other will hopefully push you not too.