Lent is the ecclesiastic season beginning with Ash Wednesday and ending with in Holy Week on Good Saturday (the day after Good Friday), leading up to Easter. Literally meaning "slow", Lent is a time in the oldest Christian traditions to slow down and reflect on our sinful nature, often including taking on of penitential practices like fasting, additional prayer time from our normal routine, etc.
It lasts for 40 days, specifically a reflection here of Christ's 40 days being tempted in the desert and the 40 years the Jews wandered in the desert because of their sins.
It is not meant to be a time of depression, but rather a time to take time to evaluate our darker "old man" so that we can more effectively give that sinful nature to be crucified, which we specifically recall on Good Friday.
There are many traditional actions and observances during this time, most notably in the Liturgy is the absence of the word "Alleluia" or "Hallelujah", and that the services tend to begin with a long "penitential order" asking, publicly corporately and categorically, for forgiveness of our sins, going right down the 10 Commandments. This is in contrast to private confession or the typical brief confession of (general) sin done in the middle of the service just before Communion.

It is interesting to note that Mardi Gras or 'fat Tuesday" is the day before the fast of Lent begins on Ash Wednesday, and began as a small feast to use up the perishable foods that would be abstained from in the following weeks.

In Christ,
~CSL