Do fun things with him, especially outside. plan spontaneous activities/trips/etc for you and him. Trying to "help" someone with depression is like trying to live a second life, so just be as encouraging possible if you do anything at all. Don't make him feel ashamed, but also don't allow him to wallow or stagnate. Severe depression is pretty much rock bottom for a lot of people, so don't be afraid to give loved ones that little push, while still being upbeat, supportive, and making it clear that you love them and want them to feel good. All you can really do, and it might not even be effective.
I suffer from depression myself. It is unfortunately not something that can be "talked through".. Depression is a chemical imbalance in the brain. Here is a useful link for you that may help explain it further: (you need an account to see links)
Being there for someone with depression can be hard as well because it feels like you are fighting a losing battle, but it means alot to the person suffering through it. All you can really do is continue to show your support and let them know you're here for them. I wish I could help more, but I am responding due to my own experiences with this condition, I have suffered through it for many years now, since I was about 15. I am now 25. I wish you luck with your dad and I am sorry about this event, whatever it may be and I hope you two can work through it!