I love the talk by Elder Paul V. Johnson given in the April 2011 conference (found here) and will use it for this lesson.
I also loved Ezra T Benson's "12 Keys for Overcoming Sorrow, Disappointment, and Depression" from the lesson manual (here) and we will discuss each of them as a class.
It is important to mention that there are some serious issues that we can not and should not face by ourselves and for these situations it is very important to involve parent's, church leaders, and possibly professionals.
I made the following handout that uses both the 12 Keys and quotes from Elder Johnson's talk.
Here's one that will print out 4 to a page
I just printed it our on white paper and mounted it on pretty cardstock.
Here's some more of my YW ideas HERE.
Also my very favorite young woman in the entire world is hosting my blog this week, so if you're looking for some great projects for your YW please check her's out.