Take a deep breath. It is good that you told your wife that you are not happy and depressed.
What did you talk about when you were in counseling? The affair? Your depression? Guilt? Did you talk about the root of the problem or just a symptom?
Do youself a favor and spend some quality time with your daughter tonight. I know the only time I feel at peace is when I am spending time with my daughter. Small steps.
Try not to focus on the affair much right now. That won't do much for your depression. You messed up, but it is over now.