Further it adds to his shame about be unable to cope with his lot, all the more reason to bump himself off. This helps you gauge how close the person is to actually committing suicide. If they have a precise plan for killing themselves they are closer. It is a great relief for the depressed person to talk about this taboo topic. They may be unwilling to share details fearing you might interfere with their only escape route.
Suicide basically comes down to a balance between reasons for staying alive and reasons for dying.
Try to gently get the depressed person to elaborate and come up with more reasons for staying alive. Non judgementally get them to think about other people's expected reactions to their suicide. Don't put them on the spot and make them feel stupid for being unable to think of reasons to live. Gently suggest some possible reasons, but don't demand that they accept them as sufficient or even important. You may have much more effect than you realise when the depressed person goes off later to ruminate on what you said.