Kayle, just be with your friend. Ask her/him if there is anything that you can do to help them. Depression turns people inside themselves - they try to bury their feelings because it hurts.
If you have an extra spiral notebook, give it to your friend and ask them to journal every day just to get their feelings out. You don't want to read this - this should be presented as a helping aid to help them cope.
If they tell you what's bothering them and if you feel they would be open to suggestions, tell them that you'd like to think about what they've told you and see if you can find a way to help.
If you feel they are suicidal, they should contact the National Suicide Prevention hotline - 800-273-TALK.
If they've been depressed a while and their parents are willing to take them, there are anti-depressants that can help.
Lastly, encourage your friend to walk every day for 30 minutes. Research on anxiety, depression and exercise shows that the psychological and physical benefits of exercise can also help reduce anxiety and improve mood. You're a good friend to want to help. Good luck.