It is painful to cope with something and have it dismissed as something that can be easily changed. Depression often cannot be cured from how one thinks, as it is about how one feels. Instead of viewing depression in the realms of emotions and feelings, it is more accurate to think of it in terms of chemistry and science. If your brain has a chemical imbalance, you cannot think your way out of it.

Alternative: Instead of telling someone to change how they think, ask them how they think about the condition. While two different people can have depression, that does not mean that they will have the same views of it. Discuss with the person how they feel and what they think so you can learn more about it - then you will be better able to understand what to say next; however, let them set the pace and make sure you do not pry or judge.