I see lots of people with Dysthymia; it's one of the more common issues, often untreated, as you say, because people often "get used" to it and don't realize there is very effective treatment.
I find it interesting you found a psychiatrist to prescribe you an antidepressant without being in counseling. Most psychiatrists that I have worked with only will prescribe as part of a total treatment program, or if the person has been in counseling, is doing well, and just needs a maintenance prescription.
You received from good advice here; try another therapist. Mild depression is one of the things that responds extremely well to cognitive behavioral therapy, as Indy said. It's an approach that requires active participation from the client. I use it a lot, combined with some sort of mindfulness/relaxation practice.