Aww
I know exactly how you feel. One of my friends threatened to commit suicide today. I have had no contact with him since because I can't get through to him - he won't have done it, I know that, but it gives you an idea of how depressed some people can be. I once wanted to get into self-harm but I stopped myself. I'm clinically depressed and was once suicidal although I did nothing about it, luckily. I feel sorry for you. It's a horrible position to have to be in... but it really is a matter of life and death sometimes, so I'm glad you're taking responsibility for your friend.
I wish all friends were like you.
Advice... oh, god. Just keep talking to her I guess. There's not much you can do. Keep her active and smiling, even if that just means talking on msn and having a laugh or talking through her problems or something. Just be careful not to upset her further. It's not a case of keeping her happy - you know yourself that when you're depressed it's simply not possible to snap out of it and see how much better off you are and blah blah, that kind of talk fades into the background or makes you feel worse - it's a case of keeping her entertained, in a way. Make sure that at any one point in time she doesn't feel the urge to go and kill herself, even if she feels bad overall. It takes ten seconds to kill yourself, so please, for her sake and your own, be there for her whenever you can, through phoning and texting her and so on, as long as you're not just annoying her more... blah, I'm repeating myself.
Just be there for her. I wish I'd had friends like you a year back... but I got through it, and you got through it, and so can she.
Make sure you don't get depressed yourself though. You need to be there for her alone; altruism is sometimes the only way out of this, even if you're faking it. Be strong for her.
Good luck.