I'm right behind you man. I know how you feel because alot of my friends are exchange students as well. I went to the airport to say goodbye to my best friend from Argentina and it was so sad seeing her off, one of the most emotional times in my life. Like you I felt depressed after see left, like there was a big hole in my life.
The best advice I can give you is this, try not to focus on it (I know this is easier said than done) a really good way to do this is to try and hang out with other good friends as much as you can because it keeps you busy. Also keep in contact with them, buy an international phone card (because they are really well priced) give them a call or two every month, talk on MSN, email etc.
doing these things really helped me get through the time period (it was about 2 weeks) so I highly recommend them lol. Good luck, and don't worry you will see your girlfriend again soon! (sooner than I will see my best friend. I won't be going to Argentina until the end of 2006 because I am about to leave for Japan)