Click depth is the number of clicks a user needs to click from a site home page to reach a page. Click depth has to do with ranking for almost all search engines. The more the user needs to click to reach a page, the harder he can find the page. Search engines consider this in some way in their scoring algorithms.
You should try to have your site navigation as easy as possible not only for search engine’s sake but also for user experience. You may consider having a site map with good hierarchy to help your users and search engine to find any page on your site easily. In case you have an enormous number of pages, you need to be careful when picking a pagination schema. The lower the number of clicks a user needs to click, the better for user experience and for SEO.
It is worth to mention that click depth is not related to where you save your files in your server. That is, if you store a file 10 folders deep in your server and you access it by one click, thats much better than storing it in the site root and the user needs to do 2 or more clicks to find it.