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 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 of laziness, or expect him or her "to snap out of it." Eventually, with treatment, most depressed people do get better. Keep that in mind, and keep reassuring the depressed person that with time and help he or she will feel better.
NIMH Publication
Sometimes a friend's depression can be frightening and extreme. For thoughts on what to do if you suspect a friend is suicidal, read What if Someone You Care About is Suicidal.