My sister is depressed, but I don't know what to do. Should I scare her? Or encourage her? Nothing is working!

Support, Encourage. Depression can be extremely difficult to deal with and people often don't recognize the extent of their illness. The best thing you can do is listen to her and find out how she's feeling. It's important to encourage her to get professional help and to let her know that you support her doing so. Depression is something most primary care physicians (along with psychiatrists) can treat effectively.
Meditation. Depressed people are very good at meditation - they meditate on bad things, instead have them shift focus on good things and being grateful. When you are near people who are depressed there is a tendency to get sucked in. So be neutral and just listen do not agree or disagree. Read the book called "four agreements" this might help you deal with being neutral.