Are we really talking 'depression' or is it a case of your friend being down in the dumps because of something that has happened in his life (relationship over, job loss etc etc).
If it is that they are down in the dumps then this may be temporary in which case as said above, just let them know that you are around if they need you and are happy to meet up and talk any time.
If we are talking real depression (which can be caused by an extended period of being down in the dumps or by a life changing event, or even hereditary) then they may need some professional help and you can encourage them to do this.
I don't mean to demean depression in what I have said, just that many people can feel depressed but are not really (medically) suffering from 'depression'.
Support and friendship is the real key whichever it is.