Hmmm....that sucks really.
Well, how is easy. You just tell them, in the most honest and appreciative way you can. Appreciative in the sense that you have to let them know that you realize how big a disappointment it may be to them and all the effort they have put into helping you out.
Sadly there is no easy way and I expect this will weigh on your conscience for a while. But at the end of the day it's your life and it's not fair to yourself or to your parents to go on lying. Just make sure you have the right reasons for quitting like this. If in fact leaving school and doing something else is the right thing for you, trust me when you look back it will have been worth it.
I hope you win the battle with depression soon. You're a lovely girl and so many people here on TFP love you. I don't know how you feel but I think that for many of us the TFP is a great support and I only wish that through us (as well as out there in the "real" world) you can find the strength to choose your path in life.