1. Hold their hand.
2. Sing to them.
3. Stay patient, no matter how angry they get.
4. Remember, they didn't choose to be depressed
5. No amateur psychotherapy : you don't know how to do it and they don't need it.
6. In fact, don't try to cure them at all. You don't know how to do it, and they don't need it.
7. A kiss on the forehead works wonders. A hot tea. A place on the couch. A blanket. Something to tell them, they're home.
8. If they want to cry, let them. You can't talk them out of it.
9. If they want to talk, listen. Don't ever give advice.
10.Sympathize, and smile. Remember this will pass. If you don't know it deep in your soul, how will they?
11. Make sure they're getting professional help: even if they don't want it, even if they hate you for it. It can be helped, and they'll be thankful for it later...
And remember one thing: Professional help is NOT enough. More than anything, someone depressed needs to know that they are loved. They might not be able to show you they appreciate it, but they do. I've been there. I know.