Relieve Depression?

I feel so empty that my entire body hurts. My grandfather just died.  I haven't cried yet. I don't want to cry. My best friend seems to not want to be around me anymore. Other than her, I have no one else. I'm so terrified of being alone but that's exactly what I am. I just want to lay on my bed forever and just be gone. 
I've already gone to a therapist for my anxiety problems. I can't go back when I lied about being depressed, because it wasn't bad. 
What do I do