First, I am not at all a psychiatrist. I just happen to know too many depressed people who have explained to me what it's like to be like you are. This is advice that has worked for them, and hopefully will work for you.
The truth is, as hard as it can be for an outside observer to understand it, if you have actual depression, you have a disease just as real and serious as . . . well, I don't know too many diseases, but something chronic. Like herpes. See, aren't you glad you don't have herpes?
First, read
this comic for a bit of perspective.
Next, tell a guidance counselor at your school, and ask her to talk to your parents. A lot of adults don't take the problems of kids seriously, figuring they'll grow out of it, or that they're stupid to act they way they're acting. If you were burning other things, I might agree, and I'd just tell them to smack you around a bit to straighten up your act. But you're injuring yourself, which should be taken seriously.
Get your counselor to talk to your parents -- as one adult to another, hopefully he or she can express that you being depressed is caused by something just as physical as the flu or a broken leg. It's just that a cracked leg or hacking cough is much easier to see than a brain chemistry imbalance. I wouldn't recommend trying to look at your brain chemistry, though.
And finally, understand that you still have a role to play in all of this. If you have a flu and you don't take care of yourself, you can get sicker and die. If you're depressed and you keep injuring yourself, and don't try to be strong and upbeat to the best of your abilities, it's much harder to heal. You
should not use this as an excuse to say, "Well, I'm mentally ill. It's not up to me whether I get better."
If you've got the flu, you take medication, drink orange juice, and keep warm. If you're depressed, you take medication, stop burning yourself, and focus on what's good in life. And you'll get better, hopefully sooner than later.