I’m not familiar with that process myself, I’m afraid, so I’ll stand aside for someone else to hopefully provide more help.
That said, have you looked at the shadow-mapping sample-programs? Those use depth-buffers, I believe, and may give you some hints regarding where to look in order to acquire your depth-map.
[edit]
Actually, have you looked at this thread, just beside yours at time of writing? The original poster there seems to be rendering a depth-texture, and the most recent post (again, at time of writing) seems to indicate that they have it working.