i think there are several issues in your post
1) him coming on to you.
2) how you feel about this
3) his general behaviour
4) his relationship with your depressive friend
5) your responsibility for anything that happesn
Lets acknowledge what you are "saying" - he is telling you he would like to "have a go"with you - now it that just cos he likes to destroy relationships or because he really really likes you - you are "the one" and he is punishing every other woman because his love is unrequited.............
if you would just be another conquest...............that doesnt suggest hes a very good friend - if he sees you as just on more conquest ??
if he really really likes you ............................ either you are or arent interested and you do or do not tell him in no uncertain terms the line across which YOU will not cross if YOU are to maintin your friendship with HIM
Either, he is a such a good - friend that you admire the friendship so much you accept this flaw in his personality and let him get on with it, or on some level - are you wondering if you want someone like this in your life.........especially if the above is true and he would use YOU in that way .............. is he worth it ??
it is hard, but i feel you warn your friend, and if she is not in a place to heed your warning..................... let her live thru it, being hurt by him, and then be there to pick her up afterwards, this might be part of her learning and it is not for you to possibly stop that learning................... just be what you clearly are............... a bloody fantastic friend, .......................... who cares.
you have no responsiblity for other peoples learning, but you have responsilblility to yourself - you want to tell him to not be a S**t , then do it.......................... if you dont, dont.................. this is