Based on how I understand it, Clinical Depression (Major Depression) is when you and your life is fully engrossed in the depressive state. What I mean by that is that your mood begins to severely effect your life. As in, you don't eat as much, or eat more than normally. You can't sleep or sleep far too much. Things you use to love doing don't matter to you anymore. You'd rather be home alone than amongst family or friends. You have trouble getting out of bed, etc.

Like most of the issues covered by this forum (phobias, anxiety, depression, etc), there's a problem when your day to day life begins to be effected with the problem at hand. Anxiety and depression are feelings that we all feel at one point, but if those feelings don't go away and your life is being effected greatly by those feelings, then the problem is more than just 'run of the mill' feelings.

Here's a link to Clinical Depression if you'd like more information.