This is part of a series and I would recommend starting from the beginning if you have not done so already. You can find all the posts in the series under the tag "Comforting the Depressed".
Be patient. Be grateful, when possible. Be open.
It's important to remember that, at every step and stage and form of comfort, both sides are engaged. The primary reason for this series, looking back, is because (a) depression is vastly misunderstood and most people don't seem to have a clue how to approach it, and (b) depression can make one not seek comfort actively for a myriad of reasons, ranging from hopelessness to self-loathing to learned helplessness. But of course, the depressed is an active party; all relationships are two way streets.
This series has been "comforting the depressed" but there is also something to be said for "being comforted as the depressed". (Which may yield a series in an of itself, we shall see.) As for the moment, I cannot write anything to that effect presently, but I do know there is something to be said. Perhaps it varies wildly from case to case, but there are some observations I've made through my experiences that I believe can be applied to most.
So, to the depressed, someone has become an active form of comfort in your life. Perhaps they understand depression well or, more likely, they have gaps in their knowledge. What can you do to help yourself be comforted (often despite yourself)?