Some of the best ways to deal with depression:
1) Address any known health issues you have.
2) Dietary changes. There are studies on this.
3) Problem solve. If you are depressed because of terrible personal issues, work on resolving them. (The article mentions that a run won't pay his bill or fix other problems. Overwhelming problems are a legitimate cause of depression.)
4) If you are suicidal, seek company. If you know someone suicidal, spend time with them.
You do not necessarily have to talk about their suicidal ideation or the problems causing it. You can play games together, have lunch, be pleasant. Suicides generally occur alone. Just physically being there goes a long way towards preventing suicide.
If you do want to help them, help them fix problems. Feelings come from somewhere. Just massaging emotions does not work. Do not "help" them by preaching at them ("Just go for a run!").