Before you proceed with this step, decide if you need to tell them. While you are coming to grips with the idea that there is nothing wrong with being depressed, not everybody is as open-minded. Decide what your motivation is for telling them and then, if it makes sense to do so, proceed with your plan.
The best way to tell them is to decide who you need to tell and when. Also decide who will be the most supportive, these are the people to tell first. Explain to them how you have been feeling and how you are working to get better. By showing that you are making progress, you can reassure them and yourself that you are not on a downward spiral.
The next thing to do is decide how to tell the less supportive members of your family. You want to do two things here. The first is to discuss with your therapist what the best way to talk to your family is. Would it be a group session? Would it be somewhere neutral, such as a restaurant? The second is to make sure that the family member or members who know and are supportive will be present.
To tell them, make sure you start by stressing the normalcy of the condition, and you might want to tell them that it was not caused by them. It's a process that can be compared to coming out of the closet, and you would want to make sure that in telling them, you are not harming yourself. The important thing is to remember that if nothing positive can come from telling them, then it is not worth it to do so yet.
You can read more about depression at http://www.curemydepression.com