Just keep your friend's confidence if he or she shares any deep feelings with you (unless, of course you are concerned for their safety). When I was depressed I confided some angry (quite depressed) feelings that I was having to a friend who was a nurse, who I trusted, and who knew I was depressed. She later blabbed to many others and on top of being depressed, I lost some friends.
A good caring, non-judgmental friend like you is a wonderful thing.
j
ps. yoga helps too, it certainly lifted me out...and permanently too. maybe you and your friend could attend some classes together!