Finding a yoga style depends on you and your personality. If you prefer structured routines and getting a little sweaty, you might like Bikram or Ashtanga. If you like to learn different poses or doing poses based on what your body/mind needs that particular day, you might like vinyasa, basic hatha, anusara, yin yoga even Iyengar. The movement of asana practice in any of these styles will help you to create endorphins - which most doctors recommend some form of exercise to help alleviate depression. I would suggest going to a local studio for the first few classes until you start to understand the basics and foundations. An instructor is instrumental in showing how to do poses properly, make adjustments and answering any questions. Just let the instructor know that you are a beginner or new to yoga and they will understand.
Another great thing about yoga is that you are accepting where you are in each moment. So if one moment (or sometimes lifetime!) you can only touch your knees, then that’s where you are. No expectation or judgments about it. It just simply is. Once you have the basic understanding of the poses, I would suggest trying a DVD for you to continue your practice. Going to yoga classes regularly does tend to be pricey so going for the first few classes just clears up a lot of the misunderstandings that people have about the poses.
Good luck and Namaste. (I bow to the divine light within you)