1. Pray to know how to help them. We actually don't have much of a clue how to navigate life, but God does. I don't always get clear answers to prayer when I'm praying for selfish things, but when I pray sincerely for others, you better believe the answers come. God is empowered, through the Atonement of Jesus Christ, to help His children, but sometimes he needs mortals to do the grunt work. Ask Him how to do so and be ready to follow through with the inspiration that comes.
2. Just be present for your friend. I adore the story in Job 2:11-13 where his friends come to mourn with him, sitting with him on the ground for seven days and saying nothing. I once had a roommate in college who I chose to confide in about something hard in my life who reacted very beautifully. She actually shed tears with me. I will never forget that. Also I had a particularly hard day a few months ago. My roommates were there to offer hugs and let me know that I actually wasn't going crazy even though I felt like I was. That helped get me over the hump to then help myself and also turn to God for help to heal. Even if our friend didn't lose everything like Job, we can still trust that their pain is legitimate and needs our presence and listening ear. Advice is not always appropriate and welcome in these cases. My friend Tasha who is a counselor recently suggested saying something like this: "I don't even know what to say, but I'm so glad you told me."
3. Help your friend find healthy distractions. Get them outside to exercise or enjoy nature. Play a game with them or find a funny movie to watch. Chances are they aren't going to be able to do many of those things on their own willpower. Also encourage them to still shower, make balanced meals, and other things that will bring peace and beauty in their lives. See what kind of beautiful music can be brought into their daily environment. Find ways to get the sun into their lives either naturally or artificially (I have a light therapy lamp and swear by it).
4. Recognize that you can't solve their problems and you can only do so much to help them. If the situation becomes draining to you, it's a good idea to seek outside help. You probably aren't a trained professional in helping those with depression, but those trained professionals do exist and you can help point your friend in the right direction. I also learned recently from a Samaritans seminar that it is okay to ask a severely depressed person if they're thinking about suicide. We tend to think about suicide as a completely taboo topic, but that mentality just prevents suicidal people from getting the help they need.
I recognize that this list is by no means comprehensive. Here's another online resource I found to be helpful: http://www.helpguide.org/mental/living_depressed_person.htm. Just googling "how to help a depressed friend" will bring you a wealth of helpful information. Good luck and let me know if I can help!
