I have both personal experience and anecdotal evidence to suggest that alcohol is pretty much the ultimate anxiety cure. Well, short of hard drugs. Or actual medication, presumably.
But as for straight-up depression, I'm really not sure staying in and getting smashed is going to be all that helpful. Especially not having drank much in the past - alcohol affects different people differently, so where solo boozing (preferably accompanied by blastbeats on the stereo) is an enjoyable and refreshing experience for me, a happy drunk, someone else in the same boat might just get thoroughly maudlin.
You don't know what kind of drunk you are, so just loading up on fat sacks o' goon and going to town on 'em could have unexpected results.
I would rather suggest you get out of the house for your first attempts at tippling. I know I've suggested going to a metal show in the past as a source of camaraderie, but obviously that's just something that works for me - if you can't stand the music, no amount of drink is likely to make it enjoyable.
Or maybe it would, I don't know. But anyway, even if you don't want to hit up any live music, go to a bar or something. Pull a Kagus, just go to yon local pub at have a few drinks and see how the experience takes you.
Bear in mind that it could easily leave an unfairly bad first impression depending on the establishment and clientele.
As a sidenote: it's generally pretty safe to ignore anything Frumple says on the subject of alcohol and/or addiction (not his fault, really), but one point he makes that might be good is the genetic alcoholism one - if your family has a solid, consistent history of alcohol addiction (and I mean more than just your mother), don't be surprised if you tend towards that as well. Be careful.
I'm sorry, I can't help but to read R2D2 and think about a rolling astromech abusing its moral system in the wild west every time you post about it.
Great, now I won't be able to shake that mental image, either. He's got a li'l stetson on and everything!
Ok gimme like.... I got this ok.
...Though I am out of post-it notes today, apparently.
Can't run out of MSpaint, though.
This is wonderful. That's pretty much how I'd imagined it, but even better!