1. Is one type of psychotherapy more effective than others?
In general, no psychotherapy outdoes the others in effectiveness but some psychotherapies work better in treating certain disorders. For example, the cognitive therapies have been the most successful in treating depression and anxiety while relaxation therapy has been successful in treating anxiety disorders. 2. I've heard that it is a sign of weakness to see a psychotherapist and that you should try to deal with your mental problems by yourself.
Seeking psychological help for a mental disorder is not a sign of weakness. Alone you may not be able to determine whether you even have a mental disorder. A competent psychotherapist can make this evaluation and provide you with an effective therapy plan. 3. Is drug therapy the most effective way to treat mental disorders?
In some cases yes, in others no. Drug therapy has revolutionized the treatment of some mental disorders, such as schizophrenia, and has been effective in treating many individuals with anxiety and depressive disorders. However, for many mental disorders, such as depression, psychotherapies can be just as effective for some people. In many instances a combination of drug therapy and psychotherapy are used. | 
2002 McGraw-Hill Higher Education