Depression can feel different for different people.
But a way to explain it is that you’re stuck. You tend to feel low and empty. You lack motivation to do simple things, like getting out of bed in the morning, and things you usually enjoy doing lose your interest.
It’s a difficult thing to live with, and I understand how badly you must want to personally help her, but unfortunately, a lot of the time there’s nothing you can say or do to really make it all better. It can’t just disappear. That takes a lot of treatment.
So don’t worry about what you should say or do. Just support her; let her know that you’ll always be there for her if/when she needs you. So long as she knows that you’ll be a good friend to her throughout her journey with depression, you’re doing just fine.