I would say it depends on the nature of the depression. If it's just, as they say, "a case of the blues", then being supportive and giving her the emotional strength she needs is probably the best medicine.

If she doesn't come out of it soon though, it might be a clinical depression (like mine is Major Depressive Syndrome) and she'll need help. If that's the case, her depression would be mainly due to chemical problems in her brain and therapy and possible medication could be needed.

Overall, I would suggest being as supportive as possible, do things for her that will help her self-esteem (like praise for achieving little goals and such) and just being there for her when she needs you. If it goes on for more than a few weeks though you should talk to her about maybe seeking some help.