People infected with HIV are more likely to suffer from depression than those not infected, with studies finding anywhere from 20% to 50% of HIV-infected individuals having significant depressive symptoms. Depression, in addition to causing persistent sadness and inability to feel pleasure, is related to a lack of HIV treatment adherence. Treatment adherence (making sure to take every pill as prescribed by doctors) is critically important to successful treatment of HIV, because missing even a few doses gives the HIV virus an opportunity to develop immunity to the medication. Poor adherence is related to worse medical outcomes, but even a small, 10% improvement rate in adherence may improve these outcomes. This study will test the efficacy of cognitive behavioral therapy (CBT) that addresses both depression and treatment adherence for HIV-infected people.