A Trade Depot allows you to trade with caravans that arrive at your fortress.
To conduct trades with caravans, a trader must be requested and present at the Trade Depot. The Trade at Depot job is fairly low-priority, so labors may have to be disabled in order to get the broker to begin the job, or the broker can be temporarily added to a burrow which covers only the depot.
Go to Status screen and choose Depot Access to check if the depot is accessible via a wagon, which requires a three tile wide path from the depot to the edge of the map.
Traps will block wagon access (although not merchants with pack animals), so you cannot easily use them to defend your depot.
Boulders (the natural kind) and tracks also block wagons. Boulders can be removed by smoothing or constructing and removing a wall over them. Bridges can serve as an alternative for tracks.