Treating infertility

Anyone have any insight for me on getting started with the infertility process? We have been trying for over a year and it's just not happening. I don't necessarily know if infertility is the issue or not but I'd like to get started with whatever I need to be doing. I want a baby so bad it gets me depressed every month over and over again. I'm just curious what kind of dr you go to first. Do u have to go to just your primary or do u go to your female dr to talk first? I'm just so lost when it comes to this stuff. TIA