Having suffered from really bad depression which was triggered from a tangible situation but left undealt with I can only offer some things not to do. Keely has provided some good information but sometimes you do need to be careful with how you approach the depressed.
Don't tell someone to snap out of
That this time will pass
Get out there and do some exercise
Take a holiday
You get the picture, all of the above were irrelevent to me, getting through each day was a milestone without all the unwanted advice. I became very good at being an actress. Smiled at the right times, always said things were great, and went through the motions of living whilst feeling dead inside. The world was truely black with shades of grey.
Yet another traumatic event occured and I still continued denying to myself that I was depressed that I could work through this with self talk and positive thoughts.
Finally an event at work pushed me over the top and I ended up not being able to stop crying. My GP put me on antidepressants and I went to cognitive therapy. The antidepressants took two weeks to take effect and the side effects were horrible but I became used to them. The cognitive therapy whilst good for validatiing my depression did not help too much and I felt better when I stopped. However, my sister also went through this and it helped her enormously, (everyone is different).
I guess what I am trying to say, is just be there, don't judge, don't offer too many platitudes and accept that it may take awhile.
It may become frustrating and I remember my best friend saying to me, you are just no fun anymore and it hurt so much. I wanted to be me, and be happy but I just didn't know how to be. Thats when the acting
But the fact that you are asking how to help is fantastic and you sound like a great friend to have.