I guess the most important thing you can do is to be there for that friend. Spend time with that friend. Loneliness exacerbates depression and depressed folks tend to stay indoors and brood over things they felt depressed by. So, be there for them. Try and keep them occupied by things. Perhaps, go out with them to some place. Maybe to the movies. Maybe somewhere else. But, let them be active and have something to do - rather than be alone and be by themselves.

Anything that distracts their mind away from the source of depression would be just the thing for them. Yoga could be another great way to deal with depression. It certainly can relax your mind and make you feel at peace. But, that can be done at a later stage. Initially, its better to take them out for movies and stuff so they are distracted from depressive topics that make them feel negative.

Also, its better to get them to vent their emotions. Internalizing their emotions can do them no good. So, have them confide in you, speak to you, share with you, their emotions and thoughts. It would make them feel much lighter. It would unburden them of much of the negativity they feel. If crying is their way to unburden and express their emotions - so be it. Let them cry and unburden. It would make them feel much better later on.

If the individual has a supportive group of friends and family - contact them and have them call him/her up and drop by. Their support and presence would definitely help make the person feel better. The most important thing is never to let them feel isolated or lonely. Call up if you can't drop by. But, talk and reinforce positive messages. Make them feel positive. Tell them to look forward and tell them how much they can contribute to their lives. Tell them they have a lot to live for. In other words, anything positive that would build up their self-esteem.