Yes depression can be inherited. Both Anxiety and Depression run in my family.
If Prozac didn't help you, there are other medications that you can try. However, sometimes, it's your life situation and stress that could be more the cause of your depression more than your inherited problem. In this case, anti-depressants aren't going to work for you.
In my own situation, I have taken many different kinds of medications, but none have worked for me. Although I may have an inherited depression, it is the problems in my life that need to be fixed more than anything, and no pill is going to do that for me. The only thing it will do is maybe make these problems easier to handle, but in the end, solving the problem, possible or impossible to solve, is going to be what will "cure" you.
One note about "inherited depression": all because others in the family may have it, doesn't mean that you necessarily have it of course, just like everyone in a family can end up with brown eyes and you can end up with blue. Even if you aren't the lucky person that didn't end up with it, there is no reason to think that the depression related actions of different family members should effect your own. Of course you feel terrible when one of your own family members commits suicide, but you have power over your own actions, depression or no, so don't let their actions influence you or make you think that you will end up the same as they did because it "runs in the family."