Is my rental property considered an Asset? If so, do I need to include it in the section where it asks about depreciation of assets?

Yes ... you MUST depreciate the home per the IRS regulations ... it is not an option. 

Okay, thanks. If the property was gifted to me, how would I correctly fill out the COST section if I had not paid for any of it?

The basis in a gift is the gifter's basis so ask them.