Let me Bro-vide some Guy-dence there amigo.
first step: just listen. thats usually all a chick wants, just for you to listen, AND actually hear what she's saying. when she wants to talk, LISTEN, and make sure she gets that youre hearing the shit shes saying. ask clarifying questions and shit like "Whatchoo mean you feel like you wanna die?" or "Can you tell me more about what you're feeling?" at this point she will make it clear if she's just PMS'ing out and being NORMAL chick crazy, or if you need to start hiding the steak knives and barbituates.
step two: dont try to fix shit. if she says "im gonna hang myself tonight when i go home" call in professional help, but if she says sometimes i feel like i would be better off deade, disagree, be supportive, but dont try to help. that will put you in the friendzone. bitches like to feel shit, and talk about shit, and the only thin they like more is talking about how they feel about shit. get used to it bro.
step three: if you have serious concerns that she may be depressed enough to pop her own top, hide the pistols and pills, then call in professionals (i know i said this already,, but it bears repeating) , if how ever you really think she is just a little blue, but a chroinic hyper-exaggerator, then you gotta check her position on the Hot/Crazy scale. if he is more bangable than she is crazy, you're in the clear, if she is more crazy than she is hot, broom the bitch. if you think she is a whacked out attention whore who bursts into teears if they dont have the frozen yogurt she wants, run for it. those bitches are the Bunny Boilers. (see Fatal Attraction for more information)
step four: if she smokes weed, is sufficiently hot to overcome her crazy quotient, and is willing to touch your penis, quite bitching.
step five: always use Bro-tection. rubbers are cheap, child support is expensive as fuck. keep it clean and wrap that rascal every time.