Many friends have felt overwhelmed by the feelings I have. Stop telling your friend with anxiety/depression you can't help her. You can. Just maybe not in the way you think. She doesn't expect you to fix her (not that she needs fixing) or her problems, she just wants to know you're on her side, that you care about her and what she's going through, and that you are willing to sympathize when you cannot understand.
Here are some ways you can (and should!) help your friend, and also some ways you shouldn't.
1. Listen to what she has to say about what she's experiencing!
It is human nature to want to be heard, and to know someone is willing to just listen means a lot. Even if you don't understand, if you are willing to just sit and listen when your friend wants to share with you, your friendship will deepen.
2. Be quick to forgive her
Anxiety and depression often leave those dealing with them paralyzed with fear or sadness. This can lead to oversleeping or panic attacks which can cause your friend to miss social events such as birthday parties, dinners, or other events on campus. Depending on the severity of her mental illness she may truly want to be at these things because she knows that's how friendships grow, it's how you're continuosly included, and how to be a good friend. And she absolutely wants to be a good friend. It will help immensely if you tell her you know how hard she is trying and you are willing to forgive her when she can't make it.
3. Share what you are going through too
There are some situations where someone is deep in the throws of serious mental illness and cannot take on any additional things that would be potentially painful or emotional, but in most cases your friend wants to know what you are going through. She wants to be there for you, and those who have experienced anxiety or depression are often great at providing comfort because they know what it is like to desire comfort for themselves. As always use your judgement, but if your friend expresses interest in you feel free to let her in on the not so nice stuff. She will be thankful, and will feel comfortable sharing with you.
4. Don't tell her she just wants attention
Woah does this one make me want to shout from the rooftops. Never never never tell someone who has trusted you enough to come to you with something that is still highly stigmatized and often considered one's own fault, that you think they just want attention. When I was in the darkest parts of my depression and severe anxiety I went to a friend I thought I could trust with anything and she told me this and it was almost life threatening. While every situation is different, and most will not be this dire, it will always cause hurt that can quickly turn into scars and trust issues. It is okay if you don't know how to help or what to say, but tell her you care about her and you are here for her and you know that this is real for her even if you don't understand yourself.
5. Don't tell her you can't deal with her and her problems
This is another one that has caused deep hurt for me that I am still trying to work through. I have had multiple friends say this to me, and while I was in a vulnerable and needy place at the time it still affects me now. Yes mental illness is really hard, but you would not tell someone with a physical illness that you "just can't deal with them" because they were sick. It is hard to make friends when you are struggling, you are mostly likely thinking irrational thoughts about people's perception of you, and it is so difficult to reach out to friends you do have for fear of losing them. It is okay if you think you don't know how to help her, just don't let her feel like she is all alone.
People with mental illnesses are strong. They are kind. They are funny. And they can be awesome friends. And you can be an awesome friend to them even if you haven't walked through what they are walking through.