Summarize:

Avoid saying things like “cheer up.” This is one of the worst things you can say to someone who is upset, especially if she's struggling with depression or anxiety. When you say this you're telling your friend not to be sad. Telling someone to "cheer up" is putting focus on you more than your friend. You're saying that your feelings of discomfort about her unhappiness is more important than her unhappiness. And that is something a friend should never do. It's important to experience emotions, even when they are unpleasant. Don't tell someone how to feel; everyone is entitled to feeling and expressing emotions. Sometimes it can be hard to know what to say when confronted with a friend who is in pain. Don't avoid your friend because you feel awkward about talking about her problem. Instead, focus on what you can say that is supportive. Often you don't need to say anything other than "I'm so sorry. I'm here for you if you need anything." Don’t make her pain all about you. This is a mistake that a lot of people make! You think that you're relating to your friend and her problems, but instead you're turning it into a you-fest.  You can relate to your friend, but make sure that it doesn’t turn into you telling lots of stories how you went through something similar and that you're just fine now. For example, don't say: "I know what it feels like to be broken up with. Remember when Jordan dumped me in front of everyone? I was feeling so awful about it all the time, but I also got over it. I've been doing really well about the break-up lately." Instead, consider saying something like this: "I know that it really hurts right now. I can promise that you'll feel better later, but right now you're going to feel really unhappy. I'm here for you in whatever you need." Often people don't want you to offer them solutions, especially when they're venting about a situation. What many people want is to feel like they've been heard and that someone knows what they've going through.  For example, don't say: "I know your cat just died. Maybe you should hit up the shelter and get a new one. There's so many cats that need a good home." This feels invalidating about the emotions your friend has about her dead cat. Instead you might say: "I was so sorry to hear about your cat. I know you loved her so much. Let me know if there's anything I can do to help."
Allow your friend to be sad. Resist avoiding your friend. Keep the focus on your friend. Avoid offering solutions unless they ask for them.