To help a depression patient, you first have to acknowledge that they actually have a problem. By telling them that it's in their own hands and they can just think the problem away will leave them feeling like a weakminded loser and make the situation worse.
Acknowledge. Then accept that you cannot firsthand understand but you are there to listen and you are there for them whenever they need a shoulder. If they share ( which is tough for a depressed person ), accept the intensity of his/her feelings and if that seem bad then convince them to get medical help.
