This is what you can do when I'm so depressed that I sit there like a zombie and stare into space or can't stop crying. This might not apply to anyone else, but it's good for me.
1. Give me your full attention.
2. Say nothing. Just sit there in silence even if it's for five straight minutes (it won't be).
3. Don't smile at me.
4. When I start talking, listen.
5. Talk with me and let me guide the conversation.
I will respond best if you give me absolutely no indication that you wish I were different, that you want to make me feel better or that you'd rather talk about what you want to talk about. If I'm crying, giving me a hug is a good idea. If I'm staring like a zombie, it's not.
At the end of our exchange I might not look better, but you can at least know that you didn't make me feel worse. Chances are I will feel at least a little better because if you've done these things, I will feel cared for and I'll probably thank you.