Depth Interviews are actually one of the many methods used in the course of Ethnography. They are lengthy interviews that are unscripted. To the User, they are simply a long conversation about them, their needs and desires.
The purpose of Depth Interviews in the current context is to ensure that the prototypes being evaluated in Usability Testing really are perceived as valuable and appealing (i.e. useful, usable and desirable) to customers.