First off, therapists associated with religion are bullshit and should be avoided. Personal experience here; mine made me far, far worse until I ignored him and told him what he wanted to hear, just so I could end the guilt tripping.
Certain kinds of patients need certain kinds of therapy. Just because in your particular experience, a religious therapy didn't work does not mean that religious therapy is not a good match for any patient. I've personally met Buddhists who basically said that its self-actualizing and goal-based philosophy is what lead them out of very dark points in their lives. I may be an atheist that can't be persuaded by that kind of therapy, but there is a large swath of people that are more influenced by emotional and dogmatic therapy than rational argument. In fact, the very nature of clinical depression makes rational argument one of the least effective methods for penetrating many people with a mental illness that includes depression.
Secondly, not all therapists are competent and if possible he should shop around until he finds one he can resonate with.
This is true, but if his friend is in charge of managing his own care, he should be careful telling him things like that. Not all therapists are competent is a catch-all excuse that could enable him to quit a competent doctor prematurely or quit seeking care altogether.
Thirdly, be there for him.
In my experience, one of the most effective ways to ensure someone doesn't hurt themselves is to appeal to their social responsibility. By investing your time in him, you make him feel obligated to return your effort. Tell him how you feel, and he'll feel more obligated to tell you how he feels. Promise to help him in concrete ways, and try to get him to promise not to hurt himself, etc. Making him verbally promise not to do things is important, even if you aren't sure if he's actually planning on going through with something he talks about.
Also, if he hasn't tried to kill himself by now, it's probably cry for help bullshit. People who really want to kill themselves will probably try it within a day or two of telling someone about it. The really serious ones don't bother with telling people. He's still depressed and needs help, but he doesn't actually need to be on suicide watch or anything. While he's probably in a lot of pain, depressed people are known to overstate their pain to loved ones as a way to seek comfort....