So you go to the pound and pick out a cute little puppy; when you get it home you can tell it is depressed and sad. That should make you feel a little sad yourself, if you are a decent person. So this article should help you and your dog become bonded and happy.

[edit] Steps

Care for the dog with all your heart the first 3-4 months(And your whole entire life). Dogs, if abused when they were young, will grow up thinking that they are always in trouble or will get hit if you become angry.
Get to "know" the dog, its likes and dislikes and fears. You have no way of knowing the troubles the dog went through as a puppy. You don't know if the dog was abused or harassed. Get to know the dog and try to help it through any troubles it might have or help it get over its fears. Don't favor your other pets. Jealousy will make adjustment harder.
After 3-4 months, let the dog explore the land around you. You don't want to let the dog go wherever he wants to in the beginning. He might think you are abandoning him, if this is what he experienced when he was a puppy or however old he was before you got him. Be sure that you are with him and make sure he is right beside you. Dont let him run away!!
After about 5 months(Hoping that the dog is a little happy and less depressed) start treating him as if he did not need all kinds of attention. BE SURE TO KEEP TREATING HIM WITH LOVE AND RESPECT!!

[edit] Tips

After the dog is accustomed to your home, it does not mean he will be over all of his emotional trouble so be warned to keep treating him with love and respect!
Don't punish him the first few months you have him or her.
If you know what angers the dog or makes him feel bad, DONT DO IT!
Be sure to protect the dog from other dogs(especially if it is a smaller dog). Sometimes dogs are afraid of thunderstroms etc. Just be NICE!
Don't ignore your dog whatever you do!!
Emotional dogs are hard to work with, just give them time and love!
You need extra time with an emotionally disturbed dog, so if you have a lot of pets and can't focus on this dog, think twice about getting him or her.