Like everyone else, I hate it when I am feeling depressed and people tell me what I should be grateful for, it just makes me feel even worse.
However, I do feel that consciously thinking about, or writing down the positive things in your life can help. I try and do it now at certain times, like when I am driving, when I get into bed. There is plenty of research available these days to support the effectiveness of this.
Being grateful increases the production of DHEA and reduces the levels of cortisol which together can lead to a significant reduction in stress levels (for the research report on this see http://www.heartmathbenelux.com/doc/DHEA_Cortisol_Study.pdf).
Similarly, those who make a conscious effort to be grateful have been shown to have better health and to sleep better (the research report is available at http://greatergood.berkeley.edu/pdfs/GratitudePDFs/6Emmons-BlessingsBurdens.pdf) and a 2009 study indicated that completing a daily gratitude exercise reduces depression
Journalling is one method of focussing on gratitude. People who use this method try to write down about 10 things each that they can be grateful for. These can be quite simple, the weather, the roof over their head, their friends and family and so on. Writing things down is often the best way to force them into your mind. Another method is talking about them with someone who won't knock you back. I am trying to make a conscious effort when something upsets me to look at it from the angle of gratitude. In time, hopefully, I will automatically look at it gratefully. They say it takes 21 days to make or break a habit, so if you can consciously practice being grateful for three weeks, it should become natural to you.