What to Do When Someone You Know is Depressed

Ways to Help a Depressed Person"

Listen. Keep in mind that the depressed person isn't communicating well right now, and is probably speaking slower and less clearly. Be patient and don't interrupt.
Take care of little tasks like feeding the cat or doing the laundry. (This suggestion applies if you don't live with the person. If you do live with the person, you probably have to take on all the tasks).
Along those lines, remember that the depressed person is not being lazy. Think of when you're really sick and you can barely get out of bed to go to the bathroom. That's how a depressive can feel all the time.
Learn everything you can about depression. Knowledge is power and understanding.
Take it seriously if the person talks about suicide. Call their doctor for advice on what to do.
Make sure the depressive is keeping doctor appointments and taking his or her medication.

Ways to Help Yourself

Take care of yourself. Depression can be "contagious." Get out and do something for yourself alone.
Recognize that your feelings of anger, frustration and helplessness are valid. Talk to a therapist for help in dealing with them.
If you are in a sexual relationship with this person, don't take it personally if they have lost interest in sex. Sexual drive is one of the first things to go when you're depressed. Offer hugging and cuddling without an expectation of sex.
Know when to let go. After a certain point, especially if the depressed person is not getting help or taking their medicine, there's nothing you can do. You have to move on with your own life.