I used to cut, but I don't really anymore.
For me it was a control thing, not so much a depression thing. I felt like I didn't have control over anything in my life, but my body was something I COULD control. I had sole responsibility for what was done to my body and nobody else did. Like Esther said, it's actually related to eating disorders. I also struggled with anorexia about three years ago. That was partially out of control, too.
Of course, it took me a long time to figure that out, and that was just for ME. It's different for other people.
I think I stopped self-harming mainly because I felt guilty. I know that I am blessed, and to think about how unhappy I was with what I had made me feel slimy and selfish.
As SK said, talking to your friend who is also a "cutter" is not the best way to go. (I've been down that road before.) A better idea may be to start a support system -- just like when friends diet together. Bring each other UP instead of bringing each other DOWN (even if bringing your friend down is not your intention). Be there to help your friend get through this, and she'll probably be there for you too.
Therapy and counseling is something to consider, but I believe that it is not right for anyone. I've never seen a counselor or talked to an adult about my bought of self-harming, but I think that I've managed to come to grips with it. However, I know therapy can help -- my one friend was seriously self-harming for well over a year, do to some awful family issues. She said that therapy helped here see things that have always been there but she's never realized before.
The best thing to do is take it a day at a time. When you get the "urge" to cut, try to distract yourself. I know it's hard, I've been there. It takes time to recover.