I have Bipolar Disorder, and I can tell you that everyone is different about what soothes them. Also, there's not a quick fix or a switch that can end a bad mood period. Listening and not judging is a great way to help, but keep in mind that depression isn't something we can shut off. It's going to be there, lingering.
I find that I prefer time alone to think about what is bothering me, to see if it's really upsetting me or if it's my chemical imbalance. This doesn't mean I want to be alone physically really. My husband will usually wait a while before coming to sit with me, then he listens while I babble or rant. Ranting helps me to get my thoughts in order, or help me to put things in perspective. I still have the depression, but I feel less alone when I feel heard and loved.
Also, try not to offer ways to fix what is bothering your friend--often, this can cause more upset. It's weird. I'm not sure why, but females especially don't want advice on fixing their problems, they just want to be heard and to have their feelings validated rather than brushed off as moodiness. Encourage your friend to open up to you and then just listen, saying things like "You're right to feel that way" and "I'm here for you".
Remember that you can't necessarily help end the depression, but you can offer your unconditional support.
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Acceptance, patience, love, and understanding. Acceptance, patience, love, and understanding. Acceptance, patience--
$%#@, get out of my face!