My friend says she clinically depressed, but she isn't and i don't what to do?

One of my best friends has been recently telling me she is really depressed when I don't know why because she has loads of friends who all love her and a great family. I said to her as a joke once, well at least you're not clinically depressed and she replied with I think I might be. Now she won't shut up about it. I know she isn't because I looked it up on the internet and she matches none of the symptoms. She has another friend, who does'nt like me very much and sort of bullies me a bit, but she keeps talking to her during lunch about how depressed they are together and loads of stuff that isn't true. My friend is getting really annoying as shes always going on about how she has no friends but everybody I know likes her and they always choose to talk to her over me or always go and ask her how her work is going but don't ask me. I've known her the longest out of all her friends and our parents go back from when they were like 14 so I feel I should be the one who looks out for her but I can't take the constant moaning and "your so lucky, uve got loads of friends" when actually no-body really prefers me to anyone else. The only problem is she recently told me she self harms so I don't want to say anything about it in case I upset her and she does it again. What do I do?