Frustrated: usually, I go back to what I was doing. I tend to only get frustrated if I'm interrupted while doing something I feel is important. And then, it only lasts for the duration of the interruption.
Depressed: I haven't gotten seriously depressed for years, since back when I was being (falsely) medicated for it (funny story; turns out anti-depressants have the opposite effect on children and that doctors aren't even supposed to prescribe them for kids, not to mention that I didn't need them to begin with). I'd usually just lay in bed if I was depressed and go to sleep; by the time I woke up, I was usually over it.
Edit: oh, come to think of it, I was depressed when my ex broke up with me. Yeah, I just kind of slept it off, now that I think about it.