This article is from the Depression FAQ, by Cynthia Frazier with numerous contributions by others.
The most important things anyone can do for depressed people is to help them get appropriate diagnosis and treatment. This may involve encouraging a depressed individual to stay with treatment until symptoms begin to abate (several weeks) or to seek different treatment if no improvement occurs. On occasion, it may require making an appointment and accompanying the depressed person to the doctor. It may also mean monitoring whether the depressed person is taking medication.
The second most important thing is to offer emotional support. This involves understanding, patience, affection, and encouragement. Engage the depressed person in conversation and listen carefully. Do not disparage feelings expressed, but point out realities and offer hope. Do not ignore remarks about suicide. Always report them to the doctor. Invite the depressed person for walks, outings, to the movies, and other activities. Be gently insistent if your invitation is refused. Encourage participation in some activities that once gave pleasure, such as hobbies, sports, religious or cultural activities, but do not push the depressed person to undertake too much too soon.
The depressed person needs diversion and company. but too many demands can increase feelings of failure. Do not accuse the depressed person of faking illness or laziness or expect him or her to "snap out of it." Eventually, with treatment, most depressed people do yet better. Keep that in mind, and keep reassuring the depressed person that with time and help, he or she will feel better.