Yes, benzos can make depression worse. It's a catch 22 when you have anxiety which leads to depression or vice versa.
I have always thought if you weren't depressed before you see a psychiatrist you *will* be when you get their bill.
Will your insurance pay for In patient? It's just a thought.
I haven't seen The Aviator, I would like to.
I don't know what to think about your psychiatrist. It seems that 4 x a week is quite a bit. If you don't feel comfortable with her and feel that you can't be completely honest, I would suggest finding one that you can.