I love this question and have often pondered it myself. I don't think sufferings need to be compared with one another. All human pain is of moral concern and deserves unique respect.

Utilitarians like to quantify pain. Even if one does this, and thereby compares different pains, it does not follow that we need to devote our psychological attention to the place/person with the greatest quantity of pain. Utilitarians, do, however, think that our moral concern (but not our psychological attention) should be directed to where we can relieve the most pain or bring about the most happiness. Perhaps the audience to your suffering is telling you that they are more obligated to relieve suffering in African than to help you feel better. (I hope for your sake that your friends are not such utilitarians. Care ethics is a better moral framework for this kind of case.)

As for "stop moaning," I think this is often psychological advice. Often, we feel better when we consider others who are in much greater pain than we are i.e. "there but for the grace of god go I." Personally, I have found that this consideration works when I am suffering a bit, but not when I am suffering a lot.

Also, depressed people are often obsessed with themselves (this is a descriptive fact, not a rebuke from me!) It turns out that becoming concerned with the needs of others is often helpful, not only for those others, but also for the depressed person. (a kind of cognitive psychotherapy)