Corlux (mifepristone) is a new medication that modulates the body's use of a hormone called cortisol. Under normal conditions, cortisol and other hormones are created by the body in response to physical and emotional stress, triggering a healthy stress response. People who suffer from psychotic major depression may have unusually high levels of cortisol circulating within them or abnormal patterns of cortisol levels, overloading the stress response mechanism and causing symptoms of psychosis such as delusional thoughts or hallucinations. If Corlux can keep the body's cortisol receptors from being overloaded, the stress response system may return to normal function, which may result in improvement of symptoms. The purpose of this 56 day study is to learn the safety and effectiveness of Corlux in patients who have been diagnosed with psychotic major depression (PMD).