Correct way to cover dependencies in unit tests
When unit testing a class you should focus only on the functionality in that class. For all other dependencies, mocking should be used. That is to say you should create "fake" implementations of the dependencies and use them to simulate the real thing. You can then run tests against the mocks to ensure that they are being used correctly according to the functionality of the class under test.

In order to do this you will have to inject all dependencies(this is pretty much always what you should be doing), likely in your constructor.

Your test example doesn't tell us too much and doesn't test anything. Instantiating a class then validating its type is not a test. Could you provide the class that you would like to test? Then we can give concrete examples.

I wrote a tutorial for using Moq to test dependencies, it can be found here:
http://stevemichael.net/how-do-i-use-moq-with-asp-net-mvc/