I just want to mention that I also suffered from anxiety/depression for at least a month and a half. I don't suffer from it anymore... thank god. Mine was so bad that I used to rock myself all day, as if I were crazy. Rocking myself would help me calm down in that time.
First... he has to find the reason for his depression. Why is he depressed? Does he have a reason? If he doesn't have a reason... than I'm affraid he might need to take medication.
If he does have a reason, such as(his girlfriend left him, death in the family, ect.), his depression is totally normal. Only time will help him heel. Tell him not to take any meds if he is experiencing any of the above.
If he is one of those who is depressed for no reason...it will take him alot of effort and time to get better. Tell him to exercise(remember that exercising is a major mind-distraction). He should focus on other things. Also, what kind of activities did he like before this anxiety? He should continue to do them. What are his goals? Motivate him to work on them. Also, when I suffering from depression, I wanted to be alone. This is the worst thing that someone can do, because you end up getting more deppressed. Tell him to make the effort to be social. It'll help.
Is he single??? If he is... try hooking him up with someone. That really helps. Trust me.
As I mentioned above... I beat that depression sickness without medication, and with all the support of my family. I'm still a little affraid that It'll come back. I was so affraid that I thought I was gonna go crazy. Help him. He'll surely appreciate it.