Pay attention to the emotion, not the problem. If they are sad , show that you care about how bad it feels. If they are feeling guilty , ask them to think about whether they might be angry instead. If they had wanted a preacher, a therapist, or a parent they could have gone to one. Two things can help when we feel bad, love and therapy.
Therapists offer therapy, friends offer love.
A true friend is someone who plays with us, enjoys us, and is there for us. Some people always seem to be feeling bad. Either back out of this friendship cautiously or insist that it change into something you can both count on to be enjoyable. Be sure you aren't always trying to help. Prove your competence in some other way.