Like Chucky said I think the best thing you can do is to just be a good friend. Be supportive, it takes a strong friendship to survive the winds of mental illness but if you close enough you can do it. Let her know that you are there if she wants to talk and will still be there if she doesn't and that you worry about her because you care. Chances are that she's just as worried as you are and scared. Having someone to talk to can really be a lifeline.
Sometimes this isn't enough though and the person really needs help. It can be as simple as asking if she'd like help or attending a support group together. The depression and bipolar suport allience offers support groups almost anywhere and may be an excent place for guys to try out their website is
www.dbsallience.com. If she isn't willing to go by herself maybe you could make a date to go together and both get checked-anything to get her the help she needs.
Don't be judemental and encourage her to stay far away from alcohol as this can make depression a thousand times worse and many people with depression are particularly suseptable to addiction. Also understand that at times she may say things she doesn't really mean because of her depression. Don't let this drive you off-many people with depression cut off all major sources of support just when they are in most need.
This site has a really cool animation which can help you with the right things to say-
http://www.whatadifference.samhsa.gov/
~Jen