I have seen one journal abstract where that that was used, but I don't know the details. There are better methods though, if you have the budget of a hospital or research center, such as IR lights filtered through water. There's also a article outlining various methods of inducing hyperthermia.
I used to take an ear thermometer in the tub with me, dunk my head, check temp in both ears to make sure I hit 102, then wrap up in bedding, fully covered, for 20 minutes or so.
Edit in reply to your edit:
Yes I also preheated water on the stove and had assistance from a family member, though technically no kettle was involved.
There are no doubt better methods if you have scads of money. If you don't, a bathtub and big pot on the stove, plus blankets, can readily get you there for cheap.
Going to a sauna with a thermometer would probably be the easiest route for many who want to try this. It was easier for me to buy a bunch of lights on amazon and do it at home. Cheaper, too.
Pramipexole in Treatment Resistant-Depression, Possible Role of Inflammatory Cytokines:
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5143506/ https://www.nature.com/articles/npp2016217.pdf?origin=ppub
Antidepressant-like effect of pramipexole in an inflammatory model of depression.
https://www.ncbi.nlm.nih.gov/pubmed/27825895
Anti-inflammatory treatment for major depressive disorder: implications for patients with an elevated immune profile and non-responders to standard antidepressant therapy
> Charles Raison, M.D. is a professor at the School of Human Ecology at the University of Wisconsin-Madison and Founding Director of the Center for Compassion Studies in the College of Social and Behavioral Sciences at the University of Arizona. Dr. Raison’s research focuses on inflammation.
https://www.youtube.com/watch?v=6DtJGJWjDys
While the protocol he is implementing (and most hyperthermia protocols I have seen) involve temperatures reaching 104-105 degrees, in the interview they discuss a possible connection to hot yoga and sauna use, which would not involve such high temperatures.
I would assume that it would easiest to try something like this at a sauna in a gym for a few week or so - all else you would need would be a thermometer. I picked up a bunch of IR lamps and a couple of space heaters, and set them up in a space just big enough to do push-ups in. The entire setup cost ~$200.
http://i.imgur.com/aM3BCbE.jpg
I have been getting my temperature to 100 degrees via the lights and the heaters, spending another ten minutes trying to increase it from there (it is usually close to 102 by the time I stop), then resting for another 20 minutes with the heaters and lights not quite as overbearingly close. I've also started incorporate pushups and planks and drink a quart of hot tea (watch out with this and the thermometer :) )
At first I thought it wasn't doing much for depression, but continued to use it due to dramatic and unexpected improvements in my other immune conditions. After skipping it a few times, it became very obvious what effect it was having on my mood, which noticeably and reliably lifts around 20 minutes or so of reaching 100 degrees.
Overall, it takes an hour a day. The process is tiring, and once your temperature starts getting above 100, you can't concentrate or do very much: even watching TV becomes a chore. And while it hasn't alleviated my depression, it's had enough of an effect that I'm no longer willing to go without it.
There are also medications that you might not have heard of. If you want, I can write more when I'm not on mobile.