What Causes Frequent Infections?

I am a 30 year old woman who has been getting frequent infections. In the last two years I have fought recurrent UTI with pyelonephritis, recurrent pneumonia, and most recently had Strep throat that did not respond to initial therapy. It got so bad that I felt like my upper airway was obstructed and I was (painfully) coughing up dark army green coloured phlegm. Now I have left flank pain which is associated with a decrease in urine output, change in colour to muggy yellow/brown with some discomfort. This happened just a couple of months ago for 3 weeks and the doctor prescribed cipro for a UTI eventhough she didn't really think I had a UTI. I did not take the drug until the pain became excruciating. It did not help. About a week later the pain got better suddenly on its own and the day after that I had Strep throat. It seems that I do not have a functional immune system. I have asthma and get migraine headaches during every period. I have recently been diagnosed with generalized anxiety disorder with panic episodes and have had major depressive disorder for about 10 years. Many people think that my frequent illness is hypochondria but I don't just THINK I'm sick, I AM sick as proven by numerous culture and sensitivity results and blood in my urine with my last episode of flank pain. Please help... Is there something really wrong with me or is it all in my head?