Who is your doctor?

Dear Doctor,
I am a 22 year-old university student. I have had depression ever since I was a teenager but I did not approach a specialist for help until very recently. What struck me as odd is that within a few minutes of entering into his chamber, the doctor prescribed some medication. And that marked the end of the session. When I shared this experience with some of my friends, they said that counseling, as we know it, is given by psychologists while it is the job of the psychiatrist to prescribe drugs.
I am now confused as to what I should do. Can you kindly explain the difference between a psychiatrist and a psychologist? Whom should I see first? I have no problem taking medication because I want to get better, but I also feel the urge to talk to someone and share my pain. Please help.
Sorry to know that you had to leave the psychiatrist's office feeling unsatisfied. It is always a good practice to know what to expect when you see a specialist, ask the right questions even before you go for your first visit. Sometimes service providers give relevant information voluntarily (website, flyer, pamphlet etc.) to reduce the gap between expectation and service delivery. Doctors asking a simple question like “did you expect anything else that I didn't cover during this visit?” could help remarkably in reducing the gap. This eventually improves client satisfaction from the business perspective as well. This is a win-win situation.

A psychiatrist is a medical doctor with specialisation on mental illnesses. A psychologist is someone with a degree in Psychology (not a medical doctor). A psychiatrist is trained to diagnose mental illnesses and treat those with medication. Since most mental illnesses are multi-factorial (physical, mental, environmental etc.) in origin, it is a well established fact that counselling and therapy is also equally beneficial in most cases when used in conjunction with pharmacotherapy (medicine).

Psychiatrists, who take special interest (this can be called a super specialisation -- if that makes any sense!) in psychotherapy (a branch of psychiatry) or counselling (by taking relevant training and courses), are eligible to provide the service along with prescribing medications. However, if a psychiatrist feels that this is not his/her domain of interest then they have the right to limit themselves only in prescribing medications, it is their choice.
Not all psychologists are eligible to offer psychotherapy or counselling. Only ‘clinical psychologists’ (a branch of psychology), are trained and licensed to do so. A psychologist can't prescribe medications.
There is no hard and fast rule in choosing who to go first. Modern psychiatry encourages team work, liaison work with other professionals for the benefit of the patient. If the psychiatrist doesn't have time to do psychotherapy or counselling, he/she should refer the case to a psychologist/counsellor (social workers with a degree in social work can also become counsellors). Likewise, if the psychologist/counsellor notices that medical intervention will accelerate the recovery or deems it as essential, should not waste any time in referring the client to a psychiatrist.
The most important thing to remember is that the patient's need comes first and the service provider is ethically bound to do his or her best to provide the service the concerned client/patient deserves or refer the client/patient to another appropriate professional.
The service consumer (client, patient) has a right to say what would work best for her or him until and unless the person has been declared mentally unfit to make such a decision or is underage. Client centered therapy (a model of psychotherapy) encourages patients to exercise that right and professionals try to accommodate that need within the framework of their service plan.