Just want to agree enthusiastically with septmorn. Depression is a serious illness and need professional care, especially when it is as bad as you describe with your friends.

Best you can do is encourage them to get the help they need. Don't let them make excuses: they don't deserve help (they do) the doctor isn't helping (find a different doctor if that is true) they can handle it themselves (they shouldn't even have to try going it on their own, help is out there!).

For your part you can learn as much about depression as you can so that you can understand and support them as they are getting treatment. Maybe offer to go to the doc with them or something. But if they won't get help you also don't want to let them hurt you.

With serious threats of hurting themselves or especially others you also have to consider whether they (and you) would be better off in the long run if you tell someone, a counsellor or doc that you trust perhaps. They may be mad at you for breaking their confidence but maybe that would work out better in the end. That is a decision that you will have to make.

Good luck and hope they realize how lucky they are to have a friend that cares and is willing to help.